@article{Continuous-Time:1452,
      recid = {1452},
      author = {Diez de los Rios, Antonio and Sentana, Enrique},
      title = {Testing Uncovered Interest Parity: A Continuous-Time  Approach},
      publisher = {Bank of Canada},
      address = {2007},
      pages = {1 online resource (iii, 32 pages plus tables and figures)},
      abstract = {Nowadays researchers can choose the sampling frequency of  exchange rates and interest rates. If the number of  observations per contract period is large relative to the  sample size, standard GMM asymptotic theory provides  unreliable inferences in UIP regression tests. We specify a  bivariate continuous-time model for exchange rates and  forward premia robust to temporal aggregation, unlike the  discrete time models in the literature. We obtain the UIP  restrictions on the continuous-time model parameters, which  we estimate efficiently, and propose a novel specification  test that compares estimators at different frequencies. Our  empirical results based on correctly specified models  reject UIP.},
      url = {http://www.oar-rao.bank-banque-canada.ca/record/1452},
      doi = {https://doi.org/10.34989/swp-2007-53},
}