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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
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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
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Forward discount dynamics in integrated markets
Aguirre, Maria Sophia - In: International review of economics & finance : IREF 8 (1999) 1, pp. 87-104
Persistent link: https://www.econbiz.de/10001427831
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Three essays in international finance and financial economics
Hu, Xiaoqiang - 1994
Persistent link: https://www.econbiz.de/10000916084
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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
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FX liquidity risk and forward premium puzzle
Abankwa, Samuel - In: Quarterly journal of finance & accounting : QJFA 58 (2020) 1/2, pp. 101-132
Persistent link: https://www.econbiz.de/10012288688
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Exploration of the foreign exchange forward premiums and the spot exchange return : a multivariate approach
Hamzaoui, Nessrine; Regaieg, Boutheina - In: International journal of economics and financial issues … 6 (2016) 2, pp. 694-702
Persistent link: https://www.econbiz.de/10011697286
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Trend shifts in the forward premium and the predictability of excess returns in currency markets
Cho, Dooyeon; Chun, Sungju - In: Applied economics 49 (2017) 18, pp. 1821-1832
Persistent link: https://www.econbiz.de/10011815429
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Violations of uncovered interest rate parity and international exchange rate dependences
Ames, Matthew; Bagnarosa, Guillaume; Peters, Gareth - In: Journal of international money and finance 73 (2017), pp. 162-187
Persistent link: https://www.econbiz.de/10011787712
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Do foreign exchange return regressions convey useful information on return predictability?
Moon, Seongman; Velasco, Carlos - In: Revista de economía aplicada : REA 25 (2017) 73, pp. 5-19
Persistent link: https://www.econbiz.de/10012261655