References

Adrian T, Etula E, Shin HS. Risk appetite and exchange rates. Federal Reserve Bank of New York Staff Reports 361; 2010 May.

Andrews DWK. Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 1991;59(1):817–858.

Ang A, Chen JS. Yield curve predictors of foreign exchange returns. Working Paper Columbia University; 2010.

Backus D, Foresi S, Telmer C. Affine term structure models and the forward premium anomaly. J Finance 2001;LVI(1):279–304.

Backus D, Smith G. Consumption and real exchange rates in dynamic economies with non-traded goods. J Int Econ 1993;35:297–316.

Bansal R. An Exploration of the Forward Premium Puzzle in Currency Markets. Rev Financ Stud 1997; 10:369–403.

Bansal R, Dahlquist M. The forward premium puzzle: different tales from developed and emerging economies. J Int Econ 2000;51:115–144.

Bansal R, Shaliastovich I. A long-run risks explanation of predictability puzzles in bond and currency markets. Working Paper, Duke University; 2008 April.

Bansal R, Yaron A. Risks for the long run: a potential resolution of asset pricing puzzles. J Finance 2004;59(4):1481–1509.

Barro R. Rare disasters and asset markets in the twentieth century. Q J Econ 2006;121:823–866.

Bekaert G. The time variation of risk and return in foreign exchange markets: a general equilibrium perspective. Rev Financ Stud 1996;9(2):427–470.

Bekaert G, Hodrick RJ. Characterizing predictable components in excess returns on equity and foreign exchange markets. ...

Get Handbook of Exchange Rates now with the O’Reilly learning platform.

O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.