Li, Dandan; Ghoshray, Atanu; Morley, Bruce - In: International Review of Financial Analysis 30 (2013) C, pp. 109-120
This study considers the nonlinear relationship between the expected exchange rate change and the interest rate differential, using STR models (ESTR and LSTR), with Sharpe ratios, interest rate differentials and exchange rate volatilities as the transition variables. The results generally...