References
- Ahmed , S and Ansari , MI . 1997 . Modelling the efficiency of the Canadian foreign exchange market: a bivariate transfer function analysis . Applied Economics , 29 : 63 – 70 .
- Andrews , DWK . 1991 . Heteroscedasticity and autocorrelation consistent covariance matrix estimation . Econometrica , 59 : 817 – 58 .
- Andrews , DWK and Monahan , JC . 1992 . An improved heteroscedasticity and autocorrelation consistent covariance matrix estimator . Econometrica , 60 : 953 – 66 .
- Apergis , N and Eleftheriou , S . 1997 . The efficient hypothesis and deregulation: the Greek case . Applied Economics , 29 : 111 – 17 .
- Bai , J . 1997 . Estimation of a change point in multiple regressions . Review of Economics and Statistics , 79 : 551 – 63 .
- Bai , J and Perron , P . 1998 . Testing for and estimation of multiple structural changes . Econometrica , 66 : 47 – 79 .
- Bai , J and Perron , P . 2003 . Computation and analysis of multiple structural changes . Journal of Applied Econometrics , 18 : 1 – 22 .
- Baillie , RT and Bollerslev , T . 2000 . The forward premium anomaly is not as bad as you think . Journal of International Money and Finance , 19 : 471 – 88 .
- Barnhart , SW , McNown , R and Wallace , MS . 1999 . Noninformative tests of the unbiased forward exchange rate . Journal of Financial and Quantitative Analysis , 34 : 265 – 91 .
- Bekaert , G . 1996 . The time variation of risk and return in foreign exchange markets: a general equilibrium approach . Review of Financial Studies , 9 : 427 – 70 .
- Bekaert , G , Hodrick , RJ and Marshall , DA . 1997 . The implications of first order risk aversion for asset market risk premiums . Journal of Monetary Economics , 40 : 3 – 39 .
- Chen , S . 2010 . Testing the hypothesis of market efficiency in the Taiwan–US forward exchange market since 1990 . Applied Economics , 42 : 121 – 32 .
- Choi , K and Zivot , E . 2007 . Long memory and structural changes in the forward discount: an empirical investigation . Journal of International Money and Finance , 26 : 342 – 63 .
- Cook , S . 2006 . The power of single equation tests for cointegration . Applied Economics Letters , 13 : 265 – 7 .
- Diamandis , P , Georgoutsos , D and Kouretas , G . 2008 . Testing the forward rate unbiasedness hypothesis during the 1920s . Journal of International Financial Markets, Institutions and Money , 18 : 358 – 73 .
- Engel , C . 1996 . The forward discount anomaly and the risk premium: a survey of recent evidence . Journal of Empirical Finance , 3 : 123 – 92 .
- Froot , KA and Frankel , JA . 1989 . Forward discount bias: is it an exchange risk premium? . Quarterly Journal of Economics , 104 : 139 – 60 .
- Froot , KA and Thaler , RH . 1990 . Anomalies: forward exchange . Journal of Economic Perspectives , 4 : 179 – 92 .
- Gabriel , VJ , Psaradakis , Z and Sola , M . 2002 . A simple method of testing for cointegration subject to multiple regime change . Economics Letters , 76 : 213 – 21 .
- Gregory , AW and Hansen , BE . 1996 . Residual-based tests for cointegration in models with regime shifts . Journal of Econometrics , 70 : 99 – 126 .
- Gregory , AW , Nason , JM and Watt , D . 1996 . Testing for structural breaks in cointegrated relationships . Journal of Econometrics , 71 : 321 – 41 .
- Hakkio , CS and Rush , M . 1989 . Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets . Journal of International Money and Finance , 8 : 75 – 88 .
- Hatemi-J , A . 2003 . A new method to choose optimal lag order in stable and unstable VAR models . Applied Economics Letters , 10 : 135 – 7 .
- Hatemi-J , A . 2008a . Tests for cointegration with two unknown regime shifts . Empirical Economics , 35 : 497 – 505 .
- Hatemi-J , A . 2008b . Forecasting properties of a new method to choose optimal lag order in stable and unstable VAR models . Applied Economics Letters , 15 : 239 – 43 .
- Hatemi-J , A . 2009 . CItest2b: GAUSS module to implement tests for cointegration with two unknown structural breaks. Statistical Software Components No. G00006, Boston College Department of Economics
- Hodrick , RJ . 1987 . The Empirical Evidence on the Efficiency of Forward and Future Foreign Exchange Markets , Switzerland : Harwood Academic Publishers .
- Jung , C , Doroodian , K and Albarano , R . 1998 . The unbiased forward rate hypothesis: a re-examination . Applied Financial Economics , 8 : 567 – 75 .
- Liu , PC and Maddala , GS . 1992 . Rationality of survey data and tests for market efficiency in the foreign exchange markets . Journal of International Money and Finance , 11 : 366 – 81 .
- McMillan , D . 2005 . Cointegrating behavior between spot and forward exchange rates . Applied Financial Economics , 15 : 1135 – 44 .
- Phillips , PCB . 1987 . Time series regression with a unit root . Econometrica , 55 : 277 – 301 .
- Sekioua , S . 2006 . Nonlinear adjustment in the forward premium: evidence from a threshold unit root test . International Review of Economics and Finance , 15 : 164 – 83 .
- Sercu , P , Vandebroek , M and Wu , X . 2008 . Is the forward bias economically small? Evidence from European rates . Journal of International Money and Finance , 27 : 1284 – 302 .
- Taylor , MP . 1995 . The economics of exchange rates . Journal of Economic Literature , 6 : 703 – 5 .
- Villanueva , OM . 2007 . Spot-forward cointegration, structural breaks and FX market unbiasedness . Journal of International Financial Markets, Institutions and Money , 17 : 58 – 78 .
- Wang , P . 2005 . A re-examination of the predicting power of forward premia . Applied Financial Economics , 15 : 1219 – 25 .
- Zacharatos , N and Sutcliffe , C . 2002 . Is the forward rate for the Greek drachma unbiased? A VECM analysis with both overlapping and non-overlapping data . Journal of Financial Management and Analysis , 15 : 27 – 37 .