Covered interest parity in cross-currency swap bases and demand for US treasuries
Year of publication: |
2020
|
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Authors: | Hui, Cho H. ; Lo, Chi-Fai ; Fung, Chin-To |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 7.2020, 2, p. 1-28
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Subject: | covered interest parity | Cross-currency basis swaps | non-Gaussian affine term-structure models | safe assets | treasuries | Zinsparität | Interest rate parity | Swap | USA | United States | Währungsderivat | Currency derivative | Zinsstruktur | Yield curve | Öffentliche Anleihe | Public bond | Staatspapier | Government securities | US-Dollar | US dollar |
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