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Carry trades, momentum trading and the forward premium anomaly

Baillie, Richard; Chang, Sanders S. - In: Journal of financial markets 14 (2011) 3, pp. 441-464

Persistent link: https://www.econbiz.de/10009261760

Can time-varying risk premiums explain the excess returns in the interest rate parity condition?

Aysun, Uluc; Lee, Sanglim - In: Emerging markets review 18 (2014), pp. 78-100

Persistent link: https://www.econbiz.de/10010417528

The term structure of currency futures' risk premia

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - In: Journal of money, credit and banking : JMCB 54 (2022) 1, pp. 5-38

Persistent link: https://www.econbiz.de/10012819558

Can country-specific interest rate factors explain the forward premium anomaly?

Argyropoulos, Efthymios; Elias, Nikolaos; Smyrnakis, … - In: Journal of economics and finance : JEF 45 (2021) 2, pp. 252-269

Persistent link: https://www.econbiz.de/10012496681

The missing risk premium in exchange rates

Dahlquist, Magnus; Penasse, Julien - 2017

Persistent link: https://www.econbiz.de/10011817659

Cross-currency credit spreads : harvesting the idiosyncratic basis as a source of ARP

Henide, Karim - In: Journal of derivatives and quantitative studies 30 (2022) 2, pp. 74-88

adherence of the idiosyncratic basis to the no-arbitrage condition is subsequently evaluated through the application of an … indicative market-neutral credit strategy that is designed to harvest the apparent static arbitrage opportunities. The success of … the strategy, which systematically captures the idiosyncratic basis as it adheres to the no-arbitrage conditions, is …

Persistent link: https://www.econbiz.de/10013202388

Predicting foreign investors' carry trade activity in the Israeli FX market using a time-varying currency risk premium approach

Mantzura, Ariel; Shraiber, Bentsi - In: International review of economics & finance : IREF 59 (2019), pp. 438-457

Persistent link: https://www.econbiz.de/10012203257

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

Currency futures' risk premia and risk factors

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2020

The use of futures exchange contracts instead of forwards completes the maturity spectrum of the correlation between the spot yield and the premium. We ﬁnd that the forward premium puzzle (FFP) depends signiﬁcantly on the maturity horizon of the futures contract and the choice of sampling...

Persistent link: https://www.econbiz.de/10012209529

Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions

Baillie, Richard; Kim, Kun Ho - In: Journal of empirical finance 34 (2015), pp. 99-111

Persistent link: https://www.econbiz.de/10011557073

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