In this paper we analyzed the violations of UIP for the Swiss Franc against the Dollar, the Euro, the Yen, the Pound and the Canadian Dollar using recent data up to fall 2008. This exercise provides the following main results : first the Swiss interest rate puzzle disappeared, i.e. mean returns...

As is well known, the uncovered interest rate parity fails in the short run but usually holds in the long run. This paper analyses the long and short run interest rate parity of 10 mayor OECD currencies and finds that there is a long run failure of the uncovered interest rate parity condition...

This paper revisits the puzzle of low returns on Swiss Franc assets using a new data set of portfolio holdings of residents and non residents at Swiss banks. The main findings are as follows. First, we find that the return anomaly is present only for fixed income assets and not for equity....

We compare and evaluate two different approaches to estimate overall survival curvesfrom censored data of recurrent events: (1) standard survival time analysis, and (2) a multistate framework that explicitly estimates the mortality rate during censored periods. With both models, we estimate...