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Stochastic skew in currency options
Carr, Peter; Wu, Liuren - In: Journal of financial economics 86 (2007) 1, pp. 213-247
Persistent link: https://www.econbiz.de/10003546310
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Spot and forward volatility in foreign exchange
Della Corte, Pasquale; Sarno, Lucio; Tsiakas, Ilias - In: Journal of financial economics 100 (2011) 3, pp. 496-513
Persistent link: https://www.econbiz.de/10009242107
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What does futures market interest tell us about the macroeconomy and asset prices?
Hong, Harrison G.; Yogo, Motohiro - In: Journal of financial economics 105 (2012) 3, pp. 473-490
Persistent link: https://www.econbiz.de/10009666813
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Crash-neutral currency carry trades
Jurek, Jakub W. - In: Journal of financial economics 113 (2014) 3, pp. 325-347
Persistent link: https://www.econbiz.de/10010495135
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Time-varying risk premia, volatility, and technical trading rule profits : evidence from foreign currency futures markets
Kho, Bong-Chan - In: Journal of financial economics 41 (1996) 2, pp. 249-290
Persistent link: https://www.econbiz.de/10001200419
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Time-varying risk premia and forecastable returns in futures markets
Bessembinder, Hendrik - In: Journal of financial economics 32 (1992) 2, pp. 169-193
Persistent link: https://www.econbiz.de/10001135590
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Time-varying betas and risk premia in the pricing of forward foreign exchange contracts
Mark, Nelson C. - In: Journal of financial economics 2 (1988), pp. 335-354
Persistent link: https://www.econbiz.de/10001061826
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An empirical examination of the convexity bias in the pricing of interest rate swaps
Gupta, Anurag; Subrahmanyam, Marti G. - In: Journal of financial economics 55 (2000) 2, pp. 239-279
Persistent link: https://www.econbiz.de/10001448506
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Credit migration and covered interest rate parity
Liao, Gordon Y. - In: Journal of financial economics 138 (2020) 2, pp. 504-525
Persistent link: https://www.econbiz.de/10012653083
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The cross-section of currency volatility premia
Della Corte, Pasquale; Kozhan, Roman; Neuberger, Anthony - In: Journal of financial economics 139 (2021) 3, pp. 950-970
Persistent link: https://www.econbiz.de/10012693854