Skip to main content
SpringerLink
Log in

Literaturverzeichnis

  • Chapter
Risikoprämien an Devisenmärkten

Part of the book series: Gabler Edition Wissenschaft ((GEW))

  • 90 Accesses

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 49.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 49.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Literaturverzeichnis

  • Abuaf, Niso und Philippe Jorion, 1990, Purchasing Power Parity in the Long Run, Journal of Finance 45, 157–74

    Article  Google Scholar 

  • Almekinders, Geert J. und Sylvester C.W. Eiffinger, 1991, Empirical Evidence on Foreign Exchange Market Intervention: Where Do We Stand?, Weltwirtschaftliches Archiv 127, 645–77

    Google Scholar 

  • Baillie, Richard T. und David D. Selover, 1987, Cointegration and Models of Exchange Rate Determination, International Journal of Forecasting 3, 43–51

    Article  Google Scholar 

  • Baillie, Richard T. und Tim Bollerslev, 1989, The Message in Daily Exchange Rates: A Conditional-Variance Tale, Journal of Business and Economic Statistics 7, 297–305

    Google Scholar 

  • Baillie, Richard T. und Tim Bollerslev, 1990, A Multivariate Generalized ARCH Approach to Modeling Risk Premia in Forward Foreign Exchange Rate Markets, Journal of International Money and Finance 9, 309–24

    Article  Google Scholar 

  • Saillie, Richard T. und Tim Bollerslev, 1990, Intra-Day and Inter-Market Volatility in Foreign Exchange Rates, Review of Economic Studies 58, 565–85

    Google Scholar 

  • Ball, Lawrence und Stephan G. Cecchetti, 1990, Inflation and Uncertainty at Short and Long Horizons, Brookings Papers Economic Activity, 215–53

    Google Scholar 

  • Gera, Anil K. und Aman Ullah, 1991, Rao’s Score Test in Econometrics, Discussion Paper No. 9143, Tilburg University

    Google Scholar 

  • Berndt, Ernst K., Bronwyn H. Hall, Robert E. Hall and Jerry A. Hausman, 1974, Estimation and Inference in Nonlinear Structural Models, Annals of Economic and Social Measurement 4, 653–65

    Google Scholar 

  • Blanchard, Olivier J., 1987, Aggregate and Individual Price Adjustment, Brookings Papers on Economic Activity, 57–122

    Google Scholar 

  • Blinder, Alan S., 1991, Why are Prices Sticky? Preliminary Results from an Interview Study, NBER Working Paper No. 3646

    Google Scholar 

  • Bollerslev, Tim, 1986, Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics 31, 307–27

    Article  Google Scholar 

  • Bollerslev, Tim, 1990, Modelling the Coherence in Short-Run

    Google Scholar 

  • Nominal Exchange Rates: A Multivariate Generalized ARCH Model, Review of Economics and Statistics 72, 498–505

    Google Scholar 

  • Boothe, Paul und Debra Glassman, 1987, The Statistical Distribution of Exchange Rates: Empirical Evidence and Economic Implications, Journal of International Money and Finance 22, 297–319

    Google Scholar 

  • Boughton, James M., 1987, Tests of the Performance of Reduced-Form Exchange Rate Models, Journal of International Economics 23, 41–56

    Article  Google Scholar 

  • Boughton, James M., 1991, Long Run Money Demand in Large Industrial Countries, IMF Staff Papers 38, 1–32

    Article  Google Scholar 

  • Branson, William H., Hannu Halttunen und Paul Masson, 1979, Exchange Rates in the Short Run. Some Further Results, European Economic Review 12, 395–402

    Google Scholar 

  • Cassel, Gustav, 1916, The Present Situation of the Foreign Exchanges, Economic Journal 26, 62–65

    Article  Google Scholar 

  • Cheung, Yin-Wong und Kon S. Lai, 1993, Long-Run Purchasing Power Parity During the Recent Float, Journal of International Economics 34, 181–92

    Article  Google Scholar 

  • Chiang, Thomas C., 1988, The Forward Rate as a Predictor of the Future Spot Rate - A Stochastic Coefficient Approach, Journal of Money, Credit and Banking 20, 212–32

    Google Scholar 

  • Cochrane, John H, 1988, How Big is the Random Walk in GNP, Journal of Political Economy 96, 893–920

    Article  Google Scholar 

  • Conover, W.J., 1971, Practical Nonparametric Statistics, Wiley, New York

    Google Scholar 

  • Corbae, Dean und Sam Ouliaris, 1988, Cointegration and Tests of Purchasing Power Parity, Review of Economics and Statistics 70, 508–11

    Article  Google Scholar 

  • Cox, John C., Jonathan E. Ingersoll und Stephen A. Ross, 1981, A Re-examination of Traditional Hypothesis About the Term Structure of Interest Rates, Journal of Finance 36, 769–99

    Article  Google Scholar 

  • Cumby, Robert E., John Huizinga und Maurice Obstfeld, 1983, Two-Step Two-Stage Least Squares Estimation in Models with

    Google Scholar 

  • Rational Expectations, Journal of Econometrics 21, 333–55

    Google Scholar 

  • Courtadon, Georges R., 1990, Recent Trends in Foreign Currency Option Valuation, in: Hodges, Stewart (Hrsg.), Options - Recent Advances in Theory and Practice, Manchaster University Press, Manchester

    Google Scholar 

  • DeJong, David N. und Steven Husted, 1993, Towards a Reconciliation of the Empirical Evidence on the Monetary Approach to Exchange Rate Determination, Review of Economics and Statistics 75, 123–28

    Article  Google Scholar 

  • Dickey, David A. und Wayne A. Fuller, 1979, Distribution of Estimators for Autoregressive Time Series With a Unit Root, Journal of the American Statistical Association 74, 427–31

    Google Scholar 

  • Dickey, David A. und Wayne A. Fuller, 1981, Likelihood-Ratio Statistics for Autoregressive Time Series With a Unit Root, Econometrica 49, 1057–72

    Article  Google Scholar 

  • Diebold, Francis X. und Marc Nerlove, 1989, The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model, Journal of Applied Econometrics 4, 1–21

    Google Scholar 

  • Domowitz, Ian und Craig S. Hakkio, 1985, Conditional Variance and the Risk Premium in the Foreign Exchange Market, Journal of International Economics 19, 47–66

    Article  Google Scholar 

  • Dooley, Michael P. und Peter Isard, 1983, The Portfolio Balance Model of Exchange Rates and Some Structural Estimates of the Risk Premium, IMF Staff Papers 30, 683–702

    Article  Google Scholar 

  • Dornbusch, Rudiger, 1976, Expectations and Exchange Rate Dynamics, Journal of Political Economy 84, 1161–76

    Article  Google Scholar 

  • Dornbusch, Rudiger, 1983, Exchange Rate Risk and the Macroeconomics of Exchange Rate Determination, in: Hawkins, Robert G., Richard M Levich und Clas G. Wihlborg (Hrsg.), Research in International Business and Finance 3, 3–37

    Google Scholar 

  • Economist, 1991, The Dollar’s Flight Path, The Economist 26. 1. 1991

    Google Scholar 

  • Economist, 1993, The Final Frontier, The Economist 20. 2. 1993

    Google Scholar 

  • Eiffinger, Sylvester C.W. und A.P.D. Gruijters, 1991, On the

    Google Scholar 

  • Short Term Objectives of Daily Intervention by the Deutsche Bundesbank and the Federal Reserve System in the U.S.Dollar-Deutsche Mark Exchange Market, Kredit und Kapital 24, 50–72

    Google Scholar 

  • Engel, Charles, 1992, On the Foreign Exchange Risk Premium in a General Equilibrium Model, Journal of International Economics 32, 305–19

    Article  Google Scholar 

  • Engle, Robert F., 1982, Autoregressive Conditional

    Google Scholar 

  • Heteroscedasticity With Estimates of the Variance of United Kingdom Inflation, Econometrica 50, 987–1007

    Google Scholar 

  • Engle, Robert F., 1983, Estimates of the Variance of U.S. Inflation Based Upon the ARCH Model, Journal of Money, Credit and Banking 15, 286–301

    Google Scholar 

  • Engle, Robert F. und C.W.J. Granger, 1987, Co-Integration and Error Correction: Representation, Estimation, and Testing, Econometrica 55, 251–76

    Google Scholar 

  • Engle, Robert F. und C.W.J. Granger, 1991, Long Run Economic Relationships-Readings in Cointegration, Oxford University Press, Oxford

    Google Scholar 

  • Engle, Robert F., Takatoshi Ito, und Weng-Ling Lin, 1990, Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market, Econometrica 58, 525–42

    Article  Google Scholar 

  • Engle, Robert F., David M. Lilien, und Russell P. Robins, 1987, Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model, Econometrica 55, 391–407

    Google Scholar 

  • Engle, Robert und Byung Sam Yoo, 1987, Forecasting and Testing in Co-Integrated Systems, Journal of Econometrics 35, 143–59

    Article  Google Scholar 

  • Federal Reserve Bulletin, Federal Reserve Bank of St. Louis, Verschieden Ausgaben, St. Louis

    Google Scholar 

  • Fischer-Erlach, Peter, 1982, Handel und Kursbildung am Devisenmarkt, Kohlhammer, Stuttgart

    Google Scholar 

  • Fisz, Marek, 1980, Wahrscheinlichkeitsrechnung und

    Google Scholar 

  • Mathematische Statistik, VEB Deutscher Verlag der Wissenschaften, Berlin

    Google Scholar 

  • Fleming, Marcus J., 1962, Domestic Financial Policies Under Fixed and Under Floating Exchange Rates, IMF Staff Papers 9, 369–80

    Article  Google Scholar 

  • Frankel, Jeffrey A., 1979, On the Mark: A Theory of Floating Rates Based on Real Interest Differentials, American Economic Review 69, 610–22

    Google Scholar 

  • Frankel, Jeffrey A., 1982, The Mystery of the Multiplying Marks: A Modification of the Monetary Model, Review of Economics and Statistics 64, 515–19

    Google Scholar 

  • Frankel, Jeffrey, 1984, Tests of Monetary and Portfolio Balance Models of Exchange Rate Determination, in: Bilson, John F.O. and Richard C. Marston (Hrsg.), Exchange Rate Theory and Practice, University of Chicago Press, Chicago, 239–60

    Google Scholar 

  • Fratianni, M. and Jürgen von Hagen, 1990a, German Dominance in the EMS: The Empirical Evidence, Open Economies Review 1, 67–87

    Google Scholar 

  • Fratianni, M. and Jürgen von Hagen, 1990b, German Dominance in the EMS: Evidence from Interest Rates, Journal of International Money and Finance 9, 358–75

    Google Scholar 

  • Frenkel, Jacob A., 1981, The Collapse of Purchasing Power Parity in the 1970s, European Economic Review 16, 145–65

    Article  Google Scholar 

  • Friedman, Milton, 1983, Monetarism in Rethoric and Practice, Bank of Japan Monetary and Economic Studies 1, 1–14

    Google Scholar 

  • Froot, Kenneth A. and Jeffrey A. Frankel, 1989, Forward Discount Bias: Is it an Exchange Risk Premium?, Quarterly Journal of Economics 104, 139–61

    Google Scholar 

  • FT, 1992, How Central Banks Ran into the Hedge, Financial Times 30. 9. 1992

    Google Scholar 

  • FT, 1993a, US Lectures on Economic Cooperation Ring Hollow, Financial Times 29. 3. 1993

    Google Scholar 

  • FT, 1993b, All Change in Foreign Exchanges, Financial Times 2. 4. 1993

    Google Scholar 

  • FT, 1993c, D-Mark Deals Rise as Volume of Currency Trading Grows, Financial Times 1. 4. 1993

    Google Scholar 

  • FT, 1993d, Pension Funds Can Rock the Finacial Markets, Financial Times 4. 5. 1993

    Google Scholar 

  • Fuller, Wayne A., 1976, Introduction to Statistical Time Series, Wiley, New York

    Google Scholar 

  • Gouriéroux, C., A. Monfort und A. Trognon, 1984, Pseudo Maximum Likelihood Methods: Theory, Econometrica 52, 1984

    Google Scholar 

  • Goldstein, Morris und Moshin S. Khan, 1985, Income and Price Effects in Foreign Trade, in: Jones, Ronald W. und Peter B. Kenen (Hrsg.), Handbook of International Economics, Vol. II, North Holland, Amsterdam, 1041–1105

    Google Scholar 

  • Ghosh, Atish R., 1992, Is it Signalling? Exchange Intervention and the Dollar-Deutschemark Rate, Jourmal of International Economics 32, 201–20

    Article  Google Scholar 

  • Grabbe, J. Orlin, 1986, International Financial Markets, Elsevier, New York

    Google Scholar 

  • Granger, C.W.J., 1986, Developments in the Study of

    Google Scholar 

  • Cointegrated Economic Variables, Oxford Bulletin of Economics and Statistics 48, 213–28

    Google Scholar 

  • Granger, C.W.J., 1988a, Causality, Cointegration, and Control, Journal of Economic Dynamics and Control 12, 551–59

    Google Scholar 

  • Granger, C.W.J., 1988b, Some Recent Developments in a Concept of Causality, Journal of Econometrics 39, 199–211

    Article  Google Scholar 

  • Grassman, S., 1973, A Fundamental Symmetry in International Payment Patterns, Journal of International Economics 3, 105–16

    Article  Google Scholar 

  • Harvey, A.C., 1983, The Econometric Analysis of Time Series, Philip Allan, Oxford

    Google Scholar 

  • Heri, Erwin W. und Michael J. Theurillat, 1990, Purchasing Power Parities for the DM–A Cointegration Exercise, Kredit und Kapital 30, 333–50

    Google Scholar 

  • Hodrick, Robert J. und Sanjay Srivastava, 1984, An

    Google Scholar 

  • Investigation of Risk and Return in Forward Foreign Exchange, Journal of International Money and Finance 3, 5–29

    Google Scholar 

  • Hollander, Myles and Douglas A. Wolfe, 1973, Nonparametric Statistical Methods, Wiley, New York

    Google Scholar 

  • Hooper, Peter und John Morton, 1982, Fluctuations in the Dollar: A Model of Nominal and Real Exchange Rate Determination, Journal of International Money and Finance 1, 39–56

    Google Scholar 

  • Hsieh, David A, 1988, The Statistical Properties of Daily Foreign Exchange Rates: 1974–1983, Journal of International Money and Finance 24, 129–45

    Google Scholar 

  • Hsieh, David A., 1989, Testing for Nonlinear Dependence in Daily Foreign Exchange Rates, Journal of Business 62, 339–68

    Article  Google Scholar 

  • Hsieh, David A., 1989, Modeling Heteroscedasticity in Daily Foreign-Exchange Rates, Journal of Business and Economic Statistics 7, 307–17

    Google Scholar 

  • Hylleberg, Svend und Grayham E. Mizon, 1989, A Note on the Distribution of the Least Squares Estimator of a Random Walk with Drift, Economic Letters 29, 225–30

    Article  Google Scholar 

  • International Financial Statistics (IFS), Internationaler Währungsfond, Verschiedene Ausgaben, Washington

    Google Scholar 

  • Isard, Peter, 1977, How Far Can We Push the ‘Law of One Price’?, American Economic Review 67, 942–48

    Google Scholar 

  • Jenkins, Gwilym M. und Donald G. Watts, Spectral Analysis and its Applications, Holden-Day, San Francisco

    Google Scholar 

  • Johansen, Soren, 1988, Statistical Analysis of Cointegration Vectors, Journal of Economic Dynamics and Control 12, 231–54

    Article  Google Scholar 

  • Johansen, Soren, 1991, Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, Econometrica 59, 1551–80

    Article  Google Scholar 

  • Johansen, Soren und Katarina Juselius, 1990, Maximum Likelihood Estimation and Inference on Cointegration–With Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics 52, 169–210

    Article  Google Scholar 

  • Johansen, Soren und Katarina Juselius, 1992, Testing Structural Hypothesis in a Multivariate Cointegration Analysis of the PPP and the UIP for UK, Journal of Econometrics 53, 211–44

    Article  Google Scholar 

  • Judge, George G., W.E. Griffiths, R. Carter Hill, Helmut Lütkepohl und Tsoung-Chao Lee, 1985, The Theory and Practice of

    Google Scholar 

  • Econometrics, Wiley, New York

    Google Scholar 

  • Kahler, Jürgen, 1991, Modelling and Forecasting Exchange-Rate Volatility with ARCH-Type Models, Discussion Paper No. 91–02, Zentrum für Europäische Wirtschaftsforschung, Mannheim

    Google Scholar 

  • Karfakis, Costas J. und Demetrios M. Moschos, 1990, Interest Rate Linkages Within the European Monetary System: A Time Series Analysis, Journal of Money, Credit and Bankin 22, 388–94

    Google Scholar 

  • Katsimbris, George M., 1985, The Relationship Between the Inflation Rate, Its Variability, and Output Growth Variability: Disaggregated International Evidence, Journal of Money, Credit and Banking 17 (1985), 179–88

    Article  Google Scholar 

  • Kendall, Maurice and Alan Stuart, 1977, The Advanced Theory of Statistics, Vol. I, Griffin, London

    Google Scholar 

  • Klein, Martin, 1985, Zentralbankinterventionen an Effizienten Devisenmärkten, Weltarchiv, Hamburg

    Google Scholar 

  • Knetter, Michael M., 1989, Price Discrimination by US and German Exporters, American Economic Review 79, 198–210

    Google Scholar 

  • Koecher, Max, 1985, Lineare Algebra und Analytische Geometrie, Springer, Berlin

    Book  Google Scholar 

  • Koedijk, Kees G. und Peter Schotman, 1990, How to Beat the Random Walk-An Empirical Model of Real Exchange Rates, Journal of International Economics 29, 311–32

    Article  Google Scholar 

  • Kremers, J.J.M., N.R. Ericsson und J.J. Dolado, 1992, The Power of Coinegration Tests, Oxford Bulletin of Economics and Statistics 54, 325–48

    Article  Google Scholar 

  • Krugman, Paul R., 1989, Exchange Rate Instability, MIT Press, Cambridge

    Google Scholar 

  • Kugler, Peter, 1991, Non-Linear Dependence of Exchange Rate Changes and International Interest Rate Differentials: An Empirical Investigation, Paper Presented at the Konstanz Seminar on Monetary Theory and Monetary Policy 1991

    Google Scholar 

  • Kugler, Peter und Carlos Lenz, 1993, Multivariate Coinegration Analysis and the Long-Run Validity of PPP, Review of Economics and Statistics 75, 180–4

    Article  Google Scholar 

  • Levich, Richard M., 1985, Empirical Studies of Exchange Rates: Price Behavior, Rate Determination and Market Efficiency, in: Jones, Ronald W. und Peter B. Kenen, Handbook of International Economics (Hrsg.), Vol.II, North Holland, Amsterdam, 979–1040

    Google Scholar 

  • Lintner, J., 1965, The Valuation of Risk Assets, Review of Economics and Statistics 47, 13–37

    Article  Google Scholar 

  • Liu, Christina Y. und Jia He, 1991, A Variance Ratio Test of Random Walks in Foreign Exchange Rates, Journal of Finance 46, 773–85

    Article  Google Scholar 

  • Ljung, G.M. and G.E.P. Box, 1978, On a Measure of Lack of Fit in Time Series Models, Biometrica 65, 297–303

    Article  Google Scholar 

  • Lo, Andrew W. und Craig MacKinlay, 1988, The Size and Power of the Variance Ratio Test in Finite Samples–A Monte Carlo Investigation, Journal of Econometrics 40, 203–38

    Google Scholar 

  • Lucas, Robert E., 1982, Interest Rates and Currency Prices in a Two Country World, Journal of Monetary Economics 10, 335–60

    Article  Google Scholar 

  • MacDonald, Ronald und Mark P. Taylor, 1989, Economic Analysis of Foreign Exchange Markets. An Expository Survey, in: Mac Donald, Ronald und Mark P. Taylor (Hrsg.), Exchange Rates and Open Economy Macroeconomics, Basil Blackwell, 3–108

    Google Scholar 

  • MacDonald, Ronald und Mark P. Taylor, 1992, Exchange Rate Economics–A Survey, IMF Staff Papers 39, 1–57

    Article  Google Scholar 

  • MacKinnon, James, 1991, Critical Values for Cointegration Tests, in: Engle, R.F. und C.W.J. Granger (Hrsg.), Long-Run Economic Relationships-Readings in Cointegration, Oxford University Press, Oxford, 267–76

    Google Scholar 

  • Maddala, G.S., 1987, Econometrics, McGraw-Hill, Auckland

    Google Scholar 

  • Main Economic Indicators, OECD, Verschiedene Ausgaben, Paris

    Google Scholar 

  • Malliaris, A.G. and W.A. Brock, 1985, Stochastic Methods in Economics and Finance, North-Holland, Amsterdam

    Google Scholar 

  • Mark, Nelson C., 1990, Real and Nominal Exchange Rates in the Long Run: An Empirical Investigation, Journal of International Economics 28, 115–36

    Google Scholar 

  • Mcculloch, J. Houston, 1975, Operational Aspects of the Siegel

    Google Scholar 

  • Paradox, Quarterly Journal of Economics 89, 170–2

    Google Scholar 

  • McKinnon, R.I., 1979, Money in International Exchange, Oxford University Press, New York

    Google Scholar 

  • Meese, Richard und Kenneth Rogoff, 1983a, Empirical Exchange Rate Models of the Seventies-Do They Fit Out of Sample?, Journal of International Economics 14, 3–24

    Article  Google Scholar 

  • Meese, Richard und Kenneth Rogoff, 1983b, The Out-of-Sample Failure of Empirical Exchange Rate Models: Sampling Error or Misspecification?, in: Frenkel, Jacob A. (Hrsg.), Exchange Rates and International Macroeconomics, University of Chicago Press, Chicago, 67–105

    Google Scholar 

  • Meese, Richard und Kenneth Rogoff, 1988, What is Real? The Exchange Rate-Interest Differential Relation over the Modern Floating-Rate Period, Journal of Finance 43, 933–48

    Article  Google Scholar 

  • Meese, Richard und Andrew K. Rose, 1991, An Empirical Assessment of Non-Linearities in Models of Exchange RAte Determination, Review of Economic Studies 58, 603–19

    Article  Google Scholar 

  • Monatsbericht der Deutschen Bundesbank, Deutsche Bundesbank, Verschiedene Ausgaben, Frankfurt

    Google Scholar 

  • Mundell, Robert A.,-1968, International Economics, London

    Google Scholar 

  • Mussa, Michael, 1986, Nominal Exchange Rate Regimes and the Behavior of Real Exchange Rates: Evidence and Implications, in: Karl Brunner und Allan Meltzer (Hrsg.), Real Business Cycles, Real Exchange Rates and Actual Policies, Carnegie-Rochester Conference Series on Public Policy 25, 117–214

    Google Scholar 

  • Nerlove, Marc, 1989, Unit Roots in Economic Time Series: An Introduction, SFB 303 Discussion Paper No. A-268, University of Bonn

    Google Scholar 

  • Newey, Whitney K. und Kenneth D. West, 1987, A Simple, Positive Semi-Definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix, Econometrica 55, 703–8

    Google Scholar 

  • Norden, R.H., 1972, A Survey of Maximum Likelihood Estimation, International Statistical Review 40, 329–54

    Article  Google Scholar 

  • Obstfeld, Maurice, 1982, The Capitalization of Income Streams and the Effects of Open-Market Policy Under Fixed Exchange Rates, Journal of Monetray Economics 9, 87–98

    Article  Google Scholar 

  • Ohno, Kenichi, 1990a, Exchange Rate Fluctuations, Pass-Through, and Market Share, IMF Staff Papers 37, 294–310

    Google Scholar 

  • Ohno, Kenichi, 1990b, Estimating Yen/Dollar and Mark/Dollar Purchasing Power Parities, IMF Staff Papers 37, 700–25

    Article  Google Scholar 

  • Papell, David H., 1988, Expectations and Exchange Rate Dynamics After a Decade of Floating, Journal of International Economics 25, 303–17

    Article  Google Scholar 

  • Parikh, Ashok, 1991, Modeling the Exchange Rate Behavior of Yen and Deutsche Mark Against the Dollar, Weltwirtschaftliches Archiv 127, 472–99

    Article  Google Scholar 

  • Phillips, Peter C.B. und Pierre Perron, 1988, Testing for a Unit Root in Time Series Regressions, Biometrica 75, 335–46

    Article  Google Scholar 

  • Poole, William, 1970, Optimal Choice of Monetary Policy Instruments in a Simple Stochastic Macro Model, Quarterly Journal of Economics 84, 197–216

    Article  Google Scholar 

  • Priestley, M.M., 1981, Spectral Analysis and Time Series. Vol. I, Academic Press, London

    Google Scholar 

  • Said, S.E. und D.A. Dickey, 1984, Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order, Biometrica 71, 599–607

    Article  Google Scholar 

  • SAS/IML, 1990, SAS/IML Software: Usage and Reference, SAS Institute Inc., Cary, NC

    Google Scholar 

  • Schmidt, Roland, 1991, Is Inflation Risk Associated With the Rate of Inflation? - New Evidence for Cointegrated Time Series, SFB 303 Discussion Paper No. B-184, University of Bonn

    Google Scholar 

  • Schmidt, Roland, 1992a, On the Stationarity of the Real Exchange Rate and the Role of Transaction Costs, SFB 303 Discussion Paper No. B-218, University of Bonn

    Google Scholar 

  • Schmidt, Roland, 1992b, An Empirical Evaluation of the Portfolio Model for the Dollar-Mark Exchange Rate, SFB 303 Discussion Paper No. B-223, University of Bonn

    Google Scholar 

  • Schmidt, Roland, 1992c, Nonlinearities and Risk Premia in Daily

    Google Scholar 

  • Dollar-Mark Exchange Rate Movements, SFB 303 Discussion Paper No. B-226, University of Bonn

    Google Scholar 

  • Schmidt, Roland, 1993, Why the Forward Rate is a Biased Predictor of the Future Spot Rate if Investors are Risk Neutral, SFB 303 Discussion Paper No. B-237, University of Bonn

    Google Scholar 

  • Sharpe, W.F., 1964, Capital Asset Prices, Journal of Finance 19, 425–42

    Google Scholar 

  • Shiryayev, A.N., 1984, Probability, Springer, Berlin

    Book  Google Scholar 

  • Sibert, Anne, 1989, The Risk Premium in the Foreign Exchange Market, Journal of Money, Credit and Banking 21, 49–65

    Google Scholar 

  • Siegel, Jeremy J., 1972, Risk, Interest Rates and the Forward Exchange, Quarterly Journal of Economics 86, 303–12

    Google Scholar 

  • Siegel, Jeremy J., 1975, Reply - Risk, Interest Rates, and the Forward Exchange, Quarterly Journal of Economics 89, 173–5

    Google Scholar 

  • Statistische Beihefte zu den Monatsberichten der Deutschen Bundesbank, Reihe 2 (Wertpapierstatistik), Deutsche Bundesbank, Verschiedene Ausgaben, Frankfurt

    Google Scholar 

  • Statistische Beihefte zu den Monatsberichten der Deutschen Bundesbank, Reihe 3 (Zahlungsbilanzstatistik), Deutsche Bundesbank, Verschiedene Ausgaben, Frankfurt

    Google Scholar 

  • Statistisches Jahrbuch für das Ausland 1992, Statistisches Bundesamt, Wiesbaden

    Google Scholar 

  • Stock, James J., 1987, Asymptotic Properties of Least Squares Estimators of Cointegration Vectors, Econometrica 55, 1035–56 -Stoer, Josef, 1983, Einführung in die Numerische Mathematik, Springer, Berlin

    Google Scholar 

  • Takagi, Shinji, 1991, Exchange Rate Expectations–A Survey of Survey Studies, IMF Staff Papers 38, 156–83

    Article  Google Scholar 

  • Weiss, Andrew A., 1986, Asymptotic Theory for ARCH Models: Estimation. and Testing, Econometric Theory 2, 107–31

    Google Scholar 

  • West, Kenneth D., 1988, Asymptotic Normality When Regressors Have a Unit Root, Econometrica 56, 1397–1417

    Article  Google Scholar 

  • West, Kenneth D., Hali J. Edison und Dongchul Cho, 1993, A Utility Based Comparison of Some Models of Exchange Rate

    Google Scholar 

  • Volatility, Board of Governors of the Federal Reserve System, International Finance Discussion Paper No. 441

    Google Scholar 

  • Wetzel, Wolfgang, Max Detlev Jöhnk und Peter Naeve, 1967, Statistische Tabellen, Walter de Gruyter and Co, Berlin

    Google Scholar 

  • White, Halbert, 1982, Maximum Likelihood Estimation of Misspecified Models, Econometrica 50, 1–25

    Article  Google Scholar 

  • White, Halbert, 1984, Asymptotic Theory for Econometricians, Academic Press, Orlando

    Google Scholar 

  • White, Halbert und Ian Domowitz, 1984, Nonlinear Regression With Dependent Observations, Econometrica 52, 143–61

    Article  Google Scholar 

  • Wolff, Edward N., 1991, Capital Formation and Productivity Convergence Over the Longer Term, American Economic Review 81, 565–79

    Google Scholar 

  • Wooldridge, Jeffrey M., 1990, A Unified Approach to Robust, Regression-Based Specification Tests, Econometric Theory 6, 17–43

    Google Scholar 

  • World Financial Markets, JP Morgan, Verschiedene Ausgaben, New York

    Google Scholar 

Download references

Authors
  1. Roland Schmidt
    View author publications

    You can also search for this author in PubMed Google Scholar

Rights and permissions

Reprints and permissions

Copyright information

© 1995 Springer Fachmedien Wiesbaden

About this chapter

Cite this chapter

Schmidt, R. (1995). Literaturverzeichnis. In: Risikoprämien an Devisenmärkten. Gabler Edition Wissenschaft. Deutscher Universitätsverlag, Wiesbaden. https://doi.org/10.1007/978-3-663-08931-5_7

Download citation

  • DOI: https://doi.org/10.1007/978-3-663-08931-5_7

  • Publisher Name: Deutscher Universitätsverlag, Wiesbaden

  • Print ISBN: 978-3-8244-6095-3

  • Online ISBN: 978-3-663-08931-5

  • eBook Packages: Springer Book Archive

Publish with us

Policies and ethics

Search

Navigation