A new test for market efficiency and uncovered interest parity

Author:

Baillie Richard T.,Diebold Francis X.,Kapetanios George,Kim Kun Ho

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference26 articles.

1. Econometric tests of rationality and market efficiency;Baillie;Econ. Rev.,1989

2. Common stochastic trends in a system of exchange rates;Baillie;J. Finance,1989

3. Baillie, R T, Diebold, F X, Kapetanios, G, Kim K H and Mora, A. 2022. On robust inference in time series regression. Manuscript under revision.

4. Central bank intervention and risk in the forward premium;Baillie;J. Int. Econ.,1997

5. Do asymmetric and nonlinear adjustments explain the forward premium anomaly?;Baillie;J. Int., Money and Finance.,2006

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