Do interest rate differentials drive the volatility of exchange rates? : evidence from an extended stochastic volatility model
Year of publication: |
2022
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Authors: | Ulm, Maren ; Hambuckers, Julien |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 65.2022, p. 125-148
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Subject: | Stochastic volatility | Exchange rate volatility | Uncovered interest rate parity | Currency carry trading | Volatilität | Volatility | Wechselkurs | Exchange rate | Zinsparität | Interest rate parity | Zinsstruktur | Yield curve | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Theorie | Theory | Deutschland | Germany | Zins | Interest rate |
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