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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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A habit-based explanation of the exchange rate risk premium
Verdelhan, Adrien - 2005
Persistent link: https://www.econbiz.de/10003380904
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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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Risk-adjusted return managed carry trade
Dupuy, Philippe - In: Journal of banking & finance 129 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012822247
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Optimal carry trade portfolio choice under regime shifts
Chen, Chih-Nan; Lin, Chien-Hsiu - In: Review of quantitative finance and accounting 59 (2022) 2, pp. 483-506
Persistent link: https://www.econbiz.de/10013459294
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An affine model for international bond markets
Dewachter, Hans; Maes, Konstantijn - 2001
Persistent link: https://www.econbiz.de/10001553246
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Exchange rate risk pricing by US equity for US industrial portfolios
Raihan, Mahfuz - In: International journal of economics and finance 5 (2013) 11, pp. 13-21
Persistent link: https://www.econbiz.de/10010213399
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Exchange rates and long-term bonds
Alexius, Annika; Sellin, Peter - In: The Scandinavian journal of economics 114 (2012) 3, pp. 974-990
Persistent link: https://www.econbiz.de/10009714110
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Tests for a systematic risk component in deviations from uncovered interest rate parity
McCurdy, Thomas H. - In: The review of economic studies 58 (1991) 4, pp. 587-602
Persistent link: https://www.econbiz.de/10001114301
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Puzzles in international financial markets
Lewis, Karen K. - 1995
Persistent link: https://www.econbiz.de/10001327909