The 39 references in paper John Barkoulas, Christopher F. Baum (1996) “Time-Varying Risk Premia in the Foreign Currency Futures Basis” / RePEc:boc:bocoec:281

1
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2
Commodity Futures Basis, Journal of Finance, 555-573.
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3
Bessembinder, H. and K. C. Chan (1992), Time-varying Risk Premia and Forecastable Returns in
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4
Futures Markets, Journal of Financial Economics, 32, 169-193.
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5
Berndt, E. K., B. H. Hall, R. E. Hall, and J. A. Hausman (1974), Estimation and Inference in
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6
Nonlinear Structural Models, Annals of Economic and Social Measurement, 653-665.
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7
Bollerslev, T. and R.F. Engle (1993), Common Persistence in Conditional Variances, Econometrica, 61:1, 167-186.
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8
Branson, W. A. (1969), The Minimum Covered Interest Differential Needed for International
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9
Arbitrage Activity, Journal of Political Economy, 77, 1028-1035.
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10
Chen, N. (1991), Financial Investment Opportunities and the Macroeconomy, Journal of Finance, 529-554.
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11
Cornell, B. and M. Reinganum (1981), Forward and Futures Prices: Evidence from the Foreign
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12
Exchange Markets, Journal of Finance, 36, 1035-1045.
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13
Cosander, P. A. and B. R. Laing (1981), Interest Rate Parity Tests: Switzerland and Some Major
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14
Western Countries, Journal of Banking and Finance, 5, 187-200.
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15
Dickey, D. and W. Fuller (1981), Likelihood Ratio Statistics for Autoregressive Time Series with a
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16
Unit Root, Econometrica 49, 1057-1072.
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17
Diebold, F. X. (1986), Testing for Serial Correlation in the Presence of ARCH, Proceeedings of the
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18
American Statistical Association, Business and Economic Statistics Section, 323-328, Washington, D. C
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19
Engle, R. F. (1982), Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica, 50, 987-1008.
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20
Fama, E. F. and K. R. French (1988a), Business Conditions and Expected Returns on Stocks and
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21
Bonds, Journal of Financial Economics, 25, 23-50. _______ (1988b), Dividend Yields and Expected Stock Returns, Journal of Financial Economics, 22, 3-25. _______ (1993), Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics, 33, 3-56.
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22
Frankel, J. (1991), Quantifying International Capital Mobility in the 1990s, in D. Bernheim and J. Shoven, eds. National Saving and Economic Performance, Chicago, University of Chicago Press, 227-260.
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23
Fratianni, M. and L. M. Wakeman (1982), The Law of One Price in the Eurocurrency Market, Journal of International Money and Finance, 1, 307-323.
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24
Frenkel, J. A. and R. M. Levich (1975), Covered Interest Arbitrage: Unsupported Profits?, Journal of Political Economy, 85, 1209-1226. _______ (1977), Transactions Costs and Interest Arbitrage: Tranquil versus Turbulent Periods, Journal of Political Economy, 83, 325-338.
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25
Fuller, W. (1976), Introduction to Statistical Time Series. New York: Wiley.
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26
Harvey, C. R. and R. D. Huang (1991), Volatility in the Foreign Currency Futures Market, Review of Financial Studies, 4, 543-569.
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27
Hodrick, R. J. and S. Srivastava (1987), Foreign Currency Futures, International Journal of Forecasting, 22, 1-24.
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28
Hsieh, D. A. (1993), Using Non-linear Methods to Search for Risk Premia in Currency Futures, Journal of International Economics, 35, 113-132.
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29
Keim, D. and R. Stambaugh (1986), Predicting Returns in the Stock and Bond Markets, Journal of
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30
Financial Economics, 17, 357-390.
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31
Kwiatkowski, D., P. C. B. Phillips, P. Schmidt, and Y. Shin (1992), Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure are we that Economic Time Series have a Unit Root?, Journal of Econometrics, 54, 159-178.
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32
Marston, R. C. (1976), Interest Arbitrage in the Euro-Currency Markets, European Economic Review, 7, 1-13.
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33
McCallum, B. (1994), A Reconsideration of the Uncovered Interest Parity Relationship, Journal of Monetary Economics, 33, 105-132.
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34
McCurdy, T. H. and J. G. Morgan (1992), Evidence of Risk Premiums in Foreign Currency
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35
Futures Markets, Review of Financial Studies, 5, 65-83.
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36
Newey, W. and K. West (1987), A Simple Positive Definite Heteroskedastic and
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37
Autocorrelation Consistent Covariance Matrix, Econometrica 55, 703-708.
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38
Phillips, P. C. B. (1987), Time Series Regression with a Unit Root, Econometrica, 55, 277-301. _______ and P. Perron (1988), Testing for Unit Roots in Time Series Regression, Biometrika, 75, 335-346.
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39
Taylor, M. P. (1987), Covered Interest Parity: A High-Frequency, High-Quality Data Study, Economica, 54, 429-438. _______ (1989), Covered Interest Arbitrage and Market Turbulence, Economic Journal, 99, 376391.
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