Unbiasedness and risk premiums in the Indian currency futures market
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DOI: 10.1016/j.intfin.2013.10.010
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Cited by:
- Xue Jiang & Liyan Han & Libo Yin, 2019. "Can skewness of the futures‐spot basis predict currency spot returns?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(11), pages 1435-1449, November.
- Stefan Trück & Rafał Weron, 2016.
"Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(6), pages 587-611, June.
- Stefan Trück & Rafal Weron, 2015. "Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period," HSC Research Reports HSC/15/03, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Miah, Fazlul & Altiti, Omar, 2020. "Risk premium or irrational expectations? An investigation into the causes of forward discount bias across 27 developed and developing economies forward rates," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Mantzura, Ariel & Schreiber, Ben Z., 2019. "Predicting foreign investors’ carry trade activity in the Israeli FX market using a time-varying currency risk premium approach," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 438-457.
- Erdem, F. Pinar & Geyikci, Utku Bora, 2021. "Local, global and regional shocks indices in emerging exchange rate markets," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 98-113.
- Kumar, Satish, 2019. "Does risk premium help uncover the uncovered interest parity failure?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
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More about this item
Keywords
Currency futures markets; Risk premiums; Unbiasedness; Realised volatility;All these keywords.
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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