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Adjusted Forward Rates as Predictors of Future Spot Rates. (1996). Sanders, Anthony ; Karolyi, G. ; Buser, Stephen A..
In: Research in Financial Economics.
RePEc:wop:ohsrfe:9605.

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Cited: 6

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Cites: 34

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Cocites: 39

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Coauthors: 0

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  1. Forward Interest Rates as Predictors of Future US Spot Rates Before and After the 2008 Financial Crisis. (2022). Wickens, Michael.
    In: Open Economies Review.
    RePEc:kap:openec:v:33:y:2022:i:3:d:10.1007_s11079-021-09637-3.

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  2. Forward interest rates as predictors of future US and UK spot rates before and after the 2008 financial crisis. (2020). Wickens, Michael R.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:14800.

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  3. The implied volatility term structure of stock index options. (2007). MIXON, SCOTT .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:3:p:333-354.

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  4. Testing the expectations hypothesis using long-maturity forward rates. (2003). Christiansen, Charlotte.
    In: Economics Letters.
    RePEc:eee:ecolet:v:78:y:2003:i:2:p:175-180.

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  5. The term structure of very short-term rates: New evidence for the expectations hypothesis. (2000). Longstaff, Francis ; Longstaff Francis A., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:58:y:2000:i:3:p:397-415.

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  6. Federal Funds Futures, Spot Rates, and Expected Changes in Monetary Policy. (1999). Rolph, Douglas.
    In: Computing in Economics and Finance 1999.
    RePEc:sce:scecf9:853.

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References

References cited by this document

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Cocites

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  2. The exchange rate as nominal anchor: A test for Ukraine. (2012). Conway, Patrick .
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  3. Switching Monetary Policy Regimes and the Nominal Term Structure. (2011). Ferman, Marcelo.
    In: FMG Discussion Papers.
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  4. Macroeconomics and the Term Structure. (2010). Gürkaynak, Refet ; Wright, Jonathan.
    In: CEPR Discussion Papers.
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  5. Are oil-price-forecasters finally right? -- Regressive expectations towards more fundamental values of the oil price. (2009). Reitz, Stefan ; Stadtmann, Georg ; Ruelke, Jan .
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  6. Futures Contract Rates as Monetary Policy Forecasts. (2009). Nobili, Andrea ; Ferrero, Giuseppe.
    In: International Journal of Central Banking.
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  7. Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates. (2008). Thornton, Daniel ; Guidolin, Massimo.
    In: Working Paper Series.
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  8. Is IPO Underperformance a Peso Problem?. (2006). Ang, Andrew ; Hochberg, Yael V. ; Gu, LI.
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  9. The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment. (2006). Siklos, Pierre ; Haug, Alfred.
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  10. A learning hypothesis of the term structure of interest rates. (2005). Romhányi, Balázs ; Romhanyi, Balazs.
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  11. A Kalman filter approach to characterizing the Canadian term structure of interest rates. (2005). Morley, James ; Gravelle, Toni.
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  12. The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective. (2005). Wu, Tao ; Rudebusch, Glenn.
    In: Computing in Economics and Finance 2005.
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  13. CAPM Over the Long Run: 1926-2001. (2005). Ang, Andrew ; Chen, Joseph.
    In: NBER Working Papers.
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  14. Testing for a Level Effect in Short-Term Interest Rates. (2004). Suardi, Sandy ; Henry, Ólan.
    In: Department of Economics - Working Papers Series.
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  15. Estimates of time-varying term premia for New Zealand and Australia. (2003). Gordon, Michael.
    In: Reserve Bank of New Zealand Discussion Paper Series.
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  16. Testing the expectations hypothesis: some new evidence for Japan. (2003). Thornton, Daniel.
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  17. Design and Estimation of Quadratic Term Structure Models. (2002). Wu, Liuren ; Leippold, Markus.
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  18. Real Risk, Inflation Risk, and the Term Structure. (2002). Evans, Martin.
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  19. Investor psychology in capital markets: evidence and policy implications. (2002). Teoh, Siew Hong ; Hirshleifer, David ; Daniel, Kent.
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  20. Expectation puzzles, time-varying risk premia, and affine models of the term structure. (2002). Singleton, Kenneth ; Qiang, Dai ; Singleton Kenneth J., .
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  21. The effects of the introduction of the euro on the volatility of European stock markets. (2002). MORANA, CLAUDIO ; Beltratti, Andrea.
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  22. Investor Psychology and Asset Pricing. (2001). Hirshleifer, David.
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  23. What do you expect? : imperfect policy credibility and tests of the expectations hypothesis?. (2001). Tinsley, Peter ; Kozicki, Sharon.
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  24. Peso problem explanations for term structure anomalies. (2001). Marshall, David ; Hodrick, Robert ; Bekaert, Geert.
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  25. Predictable changes in yields and forward rates. (2001). Wu, Liuren ; Backus, David ; Silverio, Foresi ; Abon, Mozumdar.
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  37. Estimating continuous-time stochastic volatility models of the short-term interest rate. (1997). Andersen, Torben ; Lund, Jesper .
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  38. Adjusted Forward Rates as Predictors of Future Spot Rates. (1996). Sanders, Anthony ; Karolyi, G. ; Buser, Stephen A..
    In: Research in Financial Economics.
    RePEc:wop:ohsrfe:9605.

    Full description at Econpapers || Download paper

  39. Explaining the Term Structure of Interest Rates. The GKO Market from 1996 to 1998. (). Olga, Kryukovskaya .
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