An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market

Emilio Russo (), Fabio Spagnolo and Rogemar Mamon ()
Additional contact information
Emilio Russo: University of Bergamo
Rogemar Mamon: The University of Western Ontario

Chapter 9 in Hidden Markov Models in Finance, 2007, pp 133-153 from Springer

Abstract: Summary In this article we develop a model for exchange rate dynamics in an economy that exhibits regime shifts. The switching of regimes is modulated by a Markov chain in discrete time. A description of the foreign exchange market and of its stylised features is given. Finally, unbiased forward exchange rate hypothesis (UFER) is tested in the context of the US-dollar/UK-pound spot and forward exchange rates.

Keywords: Exchange rate dynamics; structured change; unbiased forward exchange rate hypothesis (search for similar items in EconPapers)
Date: 2007
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-0-387-71163-8_9

Ordering information: This item can be ordered from
http://www.springer.com/9780387711638

DOI: 10.1007/0-387-71163-5_9

Access Statistics for this chapter

More chapters in International Series in Operations Research & Management Science from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().