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Currency returns, market regimes and behavioral biases

MacLean, Leonard C.; Zhao, Yonggan; Ziemba, William T. - In: Annals of finance 9 (2013) 2, pp. 249-269

Persistent link: https://www.econbiz.de/10009741195

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

The failure of covered interest parity : FX hedging demand and costly balance sheets

Sushko, Vladyslav; Borio, Claudio E. V.; McCauley, Robert N. - 2016 - This version: 30 October, 2016

Persistent link: https://www.econbiz.de/10011609852

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