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Common macro factors and currency premia

Filippou, Ilias; Taylor, Mark P. - 2014

Persistent link: https://www.econbiz.de/10010381967

Common macro factors and currency premia

Filippou, Ilias; Taylor, Mark P. - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 4, pp. 1731-1763

Persistent link: https://www.econbiz.de/10011928406

Dynamic allocations for currency futures under switching regimes signals

Reus, Lorenzo; Mulvey, John M. - In: European journal of operational research : EJOR 253 (2016) 1, pp. 85-93

Persistent link: https://www.econbiz.de/10011477369

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

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