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A Nonlinear Analysis of Forward Premium and Volatility

Hsu, Chiente; Kugler, Peter - In: Studies in Nonlinear Dynamics & Econometrics 1 (1997) 4

In this paper we investigate the relationship between risk premium and a time-varying conditional variance of spot rate using weekly Swiss franc/US dollar exchange-rate data. First, we apply an EGARCH-in-mean framework to test the unbiasedness hypothesis of the forward rate with a volatility...

Persistent link: https://www.econbiz.de/10014620794

Spekulation, Preisbildung und Volatilität auf Finanz- und Devisenmärkten

Alexander, Volbert; Kugler, Peter; Streissler, Erich; … - Verein für Socialpolitik / Ausschuss für Geldtheorie … - 1998

Die Beiträge des Bandes befassen sich mit den Mechanismen der Preisbildung auf den Finanz- und Devisenmärkten. Besonderes Interesse gilt der Rolle von Spekulation und Arbitrage und der sich daraus ergebenden Volatilität der Finanzmarktpreise. -- Der Beitrag von E. W. Streissler hat die...

Persistent link: https://www.econbiz.de/10011401983

Back to gold : Sterling in 1925

Gerlach, Stefan; Kugler, Peter - 2015

Persistent link: https://www.econbiz.de/10011347412

Money demand under free banking : Switzerland 1851-1906

Gerlach, Stefan; Kugler, Peter - 2015

Persistent link: https://www.econbiz.de/10011440963

A nonlinear analysis of forward premium and volatility

Hsu, Chiente (contributor); Kugler, Peter (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 1 (1996) 4, pp. 187-201

Persistent link: https://www.econbiz.de/10001769651

Swiss monetary history since the early 19th century

Baltensperger, Ernst; Kugler, Peter - 2017

This book describes the remarkable path which led to the Swiss Franc becoming the strong international currency that it is today. Ernst Baltensperger and Peter Kugler use Swiss monetary history to provide valuable insights into a number of issues concerning the organization and development of...