Can a time-varying risk premium explain excess returns in the forward market for foreign exchange?

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

Multivariate Simultaneous Generalized ARCH

1995 • 4,490 citations

Expected stock returns and volatility

1987 • 4,291 citations

Efficient tests for normality, homoscedasticity and serial independence of regression residuals

1980 • 3,749 citations

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 citations

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

1987 • 2,510 citations

Generalized autoregressive conditional heteroscedasticity

1986 • 1,914 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,759 citations

Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns

1983 • 1,611 citations

Interest rates and currency prices in a two-country world

1982 • 1,337 citations

Nonlinear Statistical Models.

1989 • 1,147 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,128 citations

A Unified Theory of Estimation and Inference for Nonlinear Dynamic Models.

1988 • 518 citations

Conditional variance and the risk premium in the foreign exchange market

1985 • 512 citations

Exchange rates and international macroeconomics

1984 • 403 citations

The Economics of Exchange Rates

2004 • 394 citations

International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence

1982 • 379 citations

An investigation of risk and return in forward foreign exchange

1984 • 332 citations

In search of the exchange risk premium: A six-currency test assuming mean-variance optimization

1982 • 313 citations

Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models

1983 • 294 citations

Formulating Wald Tests of Nonlinear Restrictions

1985 • 241 citations

Nonlinear Statistical Models

1988 • 238 citations

Interest rates and risk premia in the stock market and in the foreign exchange market

1987 • 195 citations

A Note on Exchange‐Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis

1981 • 186 citations

On time varying risk premia in the foreign exchange market: An econometric analysis

1985 • 177 citations

Some Joint Tests of the Efficiency of Markets for Forward Foreign Exchange

1979 • 150 citations

Time-varying betas and risk premia in the pricing of forward foreign exchange contracts

1988 • 137 citations

Tests of Rational Expectations in the Forward Exchange Market

1980 • 120 citations

Foreign exchange market efficiency tests: Implications of recent empirical findings

1986 • 107 citations

Obtaining any Wald statistic you want

1986 • 85 citations

Is it risk?

1988 • 85 citations

Financial Risk: Theory, Evidence and Implications

1988 • 85 citations

Stochastic prices and tests of efficiency of foreign exchange markets

1980 • 83 citations

A Note on Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis

1981 • 83 citations

Recent estimates of time-variation in the conditional variance and in the exchange risk premium

1988 • 56 citations

Empirical Assessment of Foreign Currency Risk Premiums

1989 • 27 citations

Peso Problems, Bubbles, and Risk in the Empirical Assessment of Exchange-Rate Behavior

1987 • 6 citations

Tests of International CAPM with Time-Varying Covariances

1987 • 5 citations

Time-Varying Risk Perceptions and the Pricing of Risky Assets

1988 • 4 citations