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Effects of speculation and interest rates in a “carry trade” model of commodity prices
Frankel, Jeffrey A. - In: Journal of international money and finance 42 (2014), pp. 88-112
Persistent link: https://www.econbiz.de/10010371827
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The Constrained Asset Share Estimation (CASE) Method : Testing Mean-Variance Efficiency of the U.S. Stock Market
Engel, Charles - 1993
We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the …
Persistent link: https://www.econbiz.de/10012474666
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The Constrained Asset Share Estimation (Case) Method : Testing Mean-Variance Efficiency of the U.S. Stock Market
Engel, Charles M. - 2010
We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the …
Persistent link: https://www.econbiz.de/10012763456
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Recent Estimates of Time-Variation in the Conditional Variance and in the Exchange Risk Premium
Frankel, Jeffrey A. - 1987
The optimal-diversification model of investors' portfolio behavior can give a linear relationship between the exchange risk premium and the conditional exchange rate variance. This note surveys recent empirical work that allows for the conditional variance itself, and therefore the risk premium,...
Persistent link: https://www.econbiz.de/10012476701
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Japanese finance in the 1980s : a survey
Frankel, Jeffrey A. - In: Trade with Japan : has the door opened wider?, (pp. 225-268). 1991
Persistent link: https://www.econbiz.de/10001281570
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Conditional mean-variance efficiency of the US stock market
Engel, Charles; Frankel, Jeffrey A.; Froot, Kenneth; … - 1989
Persistent link: https://www.econbiz.de/10000762682
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A Relationship Between Regression Tests and Volatility Tests of Market ncy
Frankel, Jeffrey A. - 1983
Volatility tests are an alternative to regression tests for evaluating the joint null hypothesis of market efficiency … taken to be. By considering tests based on conditional volatility bounds, we show that if the alternative is that one could … conditional volatility tests.If the application is to spot and forward markets, then the most powerful conditional volatility test …
Persistent link: https://www.econbiz.de/10012477997
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A Relationship between Regression Tests and Volatility Tests of Market Ncy
Frankel, Jeffrey A. - 2010
Volatility tests are an alternative to regression tests for evaluating the joint null hypothesis of market efficiency … taken to be. By considering tests based on conditional volatility bounds, we show that if the alternative is that one could … conditional volatility tests.If the application is to spot and forward markets, then the most powerful conditional volatility test …
Persistent link: https://www.econbiz.de/10013141210
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European integration and the regionalization of world trade and currencies : the economics and the politics
Frankel, Jeffrey A. - In: Monetary and fiscal policy in an integrated Europe : …, (pp. 202-232). 1995
Persistent link: https://www.econbiz.de/10001289569
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Exchange rates and monetary policy
Frankel, Jeffrey A. - In: Exchange rates, capital flows, and monetary policy in a …, (pp. 1-15). 1997
Persistent link: https://www.econbiz.de/10001402022