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What determines the yen swap spread?
Azad, A. S. M. Sohel; Batten, Jonathan A.; Fang, Victor - In: International review of financial analysis 40 (2015), pp. 1-13
Persistent link: https://www.econbiz.de/10011475583
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Currency excess returns and global downside market risk
Atanasov, Victoria; Nitschka, Thomas - In: Journal of international money and finance 47 (2014), pp. 268-285
Persistent link: https://www.econbiz.de/10010464017
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Model uncertainty and the Forward Premium Puzzle
Djeutem, Edouard - In: Journal of international money and finance 46 (2014), pp. 16-40
Persistent link: https://www.econbiz.de/10010391022
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Risk and exchange rates
Obstfeld, Maurice; Rogoff, Kenneth S. - In: Economic policy in the international economy : essays …, (pp. 74-118). 2003
Persistent link: https://www.econbiz.de/10002011465
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An investigation of risk and return in forward foreign exchange
Hodrick, Robert J.; Srivastva, Sanjay - 1983
Persistent link: https://www.econbiz.de/10002865723
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Risk and Exchange Rates
Obstfeld, Maurice - 1998
a sticky-price alternative to Lucas's (1982) exchage rate risk premium model. We show that the level risk premium' in …
Persistent link: https://www.econbiz.de/10012472119
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Pricing Currency Risks
Chernov, Mikhail - 2020
that the fraction of unpriced risk in these assets is at least 85%. Extant explanations of carry strategies based on …
Persistent link: https://www.econbiz.de/10012482479
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Market risk and trading durations
Raizada, Gaurav; Rao, S. V. D. Nageswara - In: The empirical economics letters : a monthly … 18 (2019) 4, pp. 391-400
Persistent link: https://www.econbiz.de/10012312395
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Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic
Palwishah, Rana; Kashif, Muhammad; Ur Rehman, Mobeen; … - In: International review of financial analysis 91 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014446983
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Carry Trade and Liquidity Risk : Evidence from forward and Cross-Currency Swap Markets
Chang, Yang - 2012
This study empirically examines the effect of foreign exchange (FX) market liquidity risk and volatility on the excess … returns of currency carry trades. In contrast to the existent literature, we construct an alternative proxy of liquidity risk … evidence that uncovered interest parity (UIP) puzzle can be resolved after controlling for liquidity risk and market volatility …
Persistent link: https://www.econbiz.de/10013101415