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Uncovered interest parity at distant horizons: evidence on emerging economies & nonlinearities
Mehl, Arnaud; Cappiello, Lorenzo - 2007
This paper tests for uncovered interest parity (UIP) at distant horizons for the US and its main trading partners, including both mature and emerging market economies, also exploring the existence of nonlinearities. At long and medium horizons, it finds support in favour of the standard, linear,...
Persistent link: https://www.econbiz.de/10011604847
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Uncovered interest parity at distant horizons : evidence on emerging economies & nonlinearities
Mehl, Arnaud (contributor); Cappiello, Lorenzo (contributor) - 2007
This paper tests for uncovered interest parity (UIP) at distant horizons for the US and its main trading partners, including both mature and emerging market economies, also exploring the existence of nonlinearities. At long and medium horizons, it finds support in favour of the standard, linear,...
Persistent link: https://www.econbiz.de/10003554292
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Uncovered interest parity at distant horizons: evidence on emerging economies & nonlinearities
Mehl, Arnaud; Cappiello, Lorenzo - European Central Bank - 2007
This paper tests for uncovered interest parity (UIP) at distant horizons for the US and its main trading partners, including both mature and emerging market economies, also exploring the existence of nonlinearities. At long and medium horizons, it finds support in favour of the standard, linear,...
Persistent link: https://www.econbiz.de/10005816198
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Do fixed income securities also show asymmetric effects in conditional second moments?
Cappiello, Lorenzo - 2000
Persistent link: https://www.econbiz.de/10001599886
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A conditional multi-asset intertemporal CAPM with switching prices of risk
Cappiello, Lorenzo - 2001
Persistent link: https://www.econbiz.de/10001618358
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The yield curve as a predictor and emerging economies
Mehl, Arnaud - In: Open economies review 20 (2009) 5, pp. 683-716
Persistent link: https://www.econbiz.de/10003894213
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Large global volatility shocks, equity markets and globalisation : 1885 - 2011
Mehl, Arnaud - 2013
Persistent link: https://www.econbiz.de/10009766418
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The yield curve as a predictor and emerging economies
Mehl, Arnaud (contributor) - 2006
Persistent link: https://www.econbiz.de/10003398828
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Unit roots tests with double trend breaks and the 1990s recession in Japan
Mehl, Arnaud - In: Japan and the world economy : international journal of … 12 (2000) 4, pp. 363-379
Persistent link: https://www.econbiz.de/10001534689
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Asymmetric dynamics in the correlations of global equity and bond returns
Sheppard, Kevin; Cappiello, Lorenzo; Engle, Robert F. - 2003
Persistent link: https://www.econbiz.de/10011604250