Short-horizon excess returns and exchange rate and interest rate effects
Year of publication: |
July 2015
|
---|---|
Authors: | Joseph, Nathan Lael ; Lambertides, Neophytos ; Savva, Christos S. |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 37.2015, p. 54-76
|
Subject: | Exchange rate and interest rate effects | Smooth transition function | Bivariate GJR-GARCH-M | Time-varying conditional correlations | Fama-French-Carhart (FFC) factors | Zins | Interest rate | Wechselkurs | Exchange rate | Schätzung | Estimation | Kapitaleinkommen | Capital income | Volatilität | Volatility |
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