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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

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

The forward premium anomaly and the currency carry trade hypothesis

Elias, Nikolaos; Smyrnakis, Dimitris; Tzavalis, Elias - In: The quarterly review of economics and finance 95 (2024), pp. 203-218

Persistent link: https://www.econbiz.de/10014631499

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

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