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Original Articles

Tests of covered interest parity: a comment

Pages 49-50 | Published online: 05 Oct 2010

References

  • Allen , W. A. 1977 . A note on uncertainty, transactions costs and interest parity . Journal of Monetary Economics , 3 : 367 – 373 .
  • Blenman , L. P. 1991 . A model of covered interest arbitrage under market segmentation . Journal of Money, Credit and Banking , 23 : 706 – 717 .
  • Blenman , L. P and Thatcher , J. S. 1994 . Arbitrageur heterogeneity, investor horizon and arbitrage opportunity: an empirical investigation . Financial Review , 29 forthcoming
  • Blenman , L. P and Thatcher , J. S. 1995 . Arbitrage opportunities in currency and credit markets: new evidence . International Journal of Finance , 7 forthcoming
  • Boothe , L. D. 1984 . Bid-ask spreads in the market for forward exchange . Journal of International Money and Finance , 3 : 209 – 222 .
  • Committeri , M. , Rossi , S. and Santorelli , A. 1993 . Tests of covered interest parity on the Euromarket with high-quality data . Applied Financial Economics , 3 : 89 – 93 .
  • Levi , M. 1977 . Taxation and abnormal international capital flows . Journal of Political Economy , 85 : 635 – 646 .

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