Miguel Villanueva

Northeastern University - D’Amore-McKim School of Business

Lecturer of Finance

360 Huntington Ave.

Hayden Hall 413

Boston, MA 02115

United States

SCHOLARLY PAPERS

8

DOWNLOADS
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SSRN RANKINGS

Top 18,810

in Total Papers Downloads

2,029

CITATIONS
Rank 24,140

SSRN RANKINGS

Top 24,140

in Total Papers Citations

11

Scholarly Papers (8)

1.

Forecasting Currency Excess Returns: Can the Forward Bias Be Exploited?

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 46 Posted: 03 May 2005
Miguel Villanueva
Northeastern University - D’Amore-McKim School of Business
Downloads 635 (30,475)
Citation 5

Abstract:

Forward bias, FX trading profits, Monte Carlo simulation, bootstrap resampling

2.

Can Foreign Exchange Risk Hedge Other Sources of Risk? A Multifactor Analysis

Number of pages: 22 Posted: 27 May 2004
James Ross McCown and Miguel Villanueva
University of Oklahoma - Division of Finance and Northeastern University - D’Amore-McKim School of Business
Downloads 314 (77,765)

Abstract:

International Asset Pricing, Exchange Rates,Foreign Exchange Risk

3.

Spot-forward Cointegration, Structural Breaks and FX Market Unbiasedness

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 21 Posted: 30 Aug 2005
Miguel Villanueva
Northeastern University - D’Amore-McKim School of Business
Downloads 239 (101,154)
Citation 3

Abstract:

forward rates, market unbiasedness, structural breaks

4.

FX Dynamics, Limited Participation, and the Forward Bias Anomaly

Financial Review, Vol. 40, pp. 67-93, 2005
Number of pages: 28 Posted: 30 Apr 2005
Miguel Villanueva
Northeastern University - D’Amore-McKim School of Business
Downloads 186 (130,752)
Citation 3

Abstract:

Forward-bias, generalized impulse response, limited participation, overshooting, undershooting

5.

Perspectives on Uncovered Interest Rate Parity and the Carry Trade: Some Recent Evidence for G10 and Emerging Markets

Number of pages: 27 Posted: 18 Nov 2012
Miguel Villanueva
Northeastern University - D’Amore-McKim School of Business
Downloads 180 (124,136)

Abstract:

Uncovered interest parity, carry trade, FX economic model, policy and practitioner currency management

6.

Regressions of FX Returns on Fractionally Integrated Forward Premium

Number of pages: 38 Posted: 18 May 2007
Miguel Villanueva
Northeastern University - D’Amore-McKim School of Business
Downloads 95 (221,598)

Abstract:

Fractional integration, unbalanced regression, forward bias, small-sample bias, Monte Carlo simulation

7.

A Model of FX Fluctuations with News

Number of pages: 15 Posted: 14 Sep 2015
Miguel Villanueva
Northeastern University - D’Amore-McKim School of Business
Downloads 24 (327,553)

Abstract:

Currency valuation, FX dynamics, news to yields, deviations from uncovered interest parity.

8.

Quantitative Easing and US Stock Prices

Number of pages: 37 Posted: 06 Sep 2015
Miguel Villanueva
Northeastern University - D’Amore-McKim School of Business
Downloads 22 (95,432)

Abstract:

Quantitative easing, federal fund rates, stock returns, out of sample forecasts, impulse-response analysis