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Jurek, Jakub W. - In: Journal of financial economics 113 (2014) 3, pp. 325-347

Persistent link: https://www.econbiz.de/10010495135

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

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 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

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

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

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

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

Consumption risk and FX trading returns

Klein, Alina F.; Klein, Rudolf F. - In: International journal of economic perspectives : IJEP 6 (2012) 4, pp. 73-92

Persistent link: https://www.econbiz.de/10011587224

Understanding the price of volatility risk in carry trades

Ahmed, Shamim; Valente, Giorgio - In: Journal of banking & finance 57 (2015), pp. 118-129

Persistent link: https://www.econbiz.de/10011543818

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