New Evidence on Interest Rate and Foreign Exchange Rate Modeling

@inproceedings{AlZoubi2003NewEO,
  title={New Evidence on Interest Rate and Foreign Exchange Rate Modeling},
  author={Haitham A. Al-Zoubi},
  year={2003}
}
This dissertation empirically and theoretically investigates three interrelated issues of market anomalies in interest rates derivatives and foreign exchange rates. The first essay models the spot exchange rate as a decomposition of permanent and transitory components. Unlike extant analysis, the transitory component could be stationary or explosive. The second essay examines the market efficiency hypothesis in the foreign exchange markets and relates the rejection of forward rate unbiasedness… CONTINUE READING

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