Predicting exchange rate returns
Version 2 2024-06-06, 08:28
Version 1 2020-01-01, 00:00
journal contribution
posted on 2024-06-06, 08:28 authored by PK Narayan, Susan SharmaSusan Sharma, DHB Phan, G LiuPredicting exchange rate returns
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Location
Amsterdam, The NetherlandsLanguage
EnglishNotes
In PressPublication classification
C Journal article, C1 Refereed article in a scholarly journalJournal
Emerging Markets ReviewVolume
42Article number
ARTN 100668Pagination
1 - 16ISSN
1566-0141eISSN
1873-6173Publisher
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Keywords
Social SciencesBusiness, FinanceEconomicsBusiness & EconomicsExchange rateForward premiumHeteroskedasticityPersistencyEndogeneityPredictabilityCOVERED INTEREST PARITYTERM STRUCTURERISK PREMIASPOT RATECURRENCYPREDICTABILITYMARKETSMODELSARBITRAGETESTSDepartment of FinanceCentre for Economics and Financial Econometrics Research3502 Banking, finance and investment
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