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Azad, A. S. M. Sohel; Batten, Jonathan A.; Fang, Victor - In: International review of financial analysis 40 (2015), pp. 1-13

Persistent link: https://www.econbiz.de/10011475583

Carry Trade and Liquidity Risk : Evidence from forward and Cross-Currency Swap Markets

Chang, Yang - 2012

- violations of no arbitrage bounds in the forward and currency swap markets. We also use volatility smile data to capture FX …

Persistent link: https://www.econbiz.de/10013101415

Demand-supply imbalance risk and long-term swap spreads

Hanson, Samuel G.; Malkhozov, Aytek; Venter, Gyuiri - 2022

Persistent link: https://www.econbiz.de/10013172797

How do sovereign risk, equity and foreign exchange derivatives markets interact?

Ibhagui, Oyakhilome - In: Economic modelling 97 (2021), pp. 58-78

Persistent link: https://www.econbiz.de/10012793299

From CIP-deviations to a market for risk premia : a dynamic investigation of cross-currency basis swaps

Chatziantoniou, Ioannis; Gabauer, David; Stenfors, Alexis - In: Journal of international financial markets, … 69 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012495926

Covered interest parity with default risk

Csávás, Csaba - In: The European journal of finance 22 (2016) 10/12, pp. 1130-1144

Persistent link: https://www.econbiz.de/10011715322

Role of cross currency swap markets in funding and investment decisions

Brophy, Thomas J.; Herrala, Niko; Jurado, Raquel; … - 2019

A US dollar funding premium in the EUR/USD cross currency swap market has been in existence since 2008. Whilst there … are many reasons behind this dislocation, since 2014 the divergence in monetary policy between the euro area and the … currency basis. The downward pressure on yields, exerted by the APP, has made euro assets less attractive and has led investors …