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Volatility risk and economic welfare

Xu, Shaofeng - In: Journal of economic dynamics & control 80 (2017), pp. 17-33

Persistent link: https://www.econbiz.de/10011817622

Model uncertainty and the Forward Premium Puzzle

Djeutem, Edouard - In: Journal of international money and finance 46 (2014), pp. 16-40

Persistent link: https://www.econbiz.de/10010391022

Robust learning in the foreign exchange market

Djeutem, Edouard; Nguimkeu, Pierre - In: The B.E. journal of macroeconomics 20 (2020) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10012170728

Uncovered return parity : equity returns and currency returns

Djeutem, Edouard; Dunbar, Geoffrey R. - 2018

We propose an uncovered expected returns parity (URP) condition for the bilateral spot exchange rate. URP implies that unilateral exchange rate equations are misspecified and that equity returns also affect exchange rates. Fama regressions provide evidence that URP is statistically preferred to...

Persistent link: https://www.econbiz.de/10011844179

Uncovered return parity : equity returns and currency returns

Djeutem, Edouard; Dunbar, Geoffrey R. - In: Journal of international money and finance 128 (2022), pp. 1-25

Persistent link: https://www.econbiz.de/10013438368