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Financial market structure and the ergodicity of prices
Domowitz, Ian; El-Gamal, Mahmoud A. - 1997
Persistent link: https://www.econbiz.de/10000979617
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Equity risk premia and the pricing of foreign exchange risk
Korajczyk, Robert A.; Viallet, Claude J. - 1990
Persistent link: https://www.econbiz.de/10000791470
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Equity risk premia and the pricing of foreign exchange risk
Korajczyk, Robert A.; Viallet, Claude J. - 1989
Persistent link: https://www.econbiz.de/10000763456
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Equity risk premia and the pricing of foreign exchange risk
Korajczyk, Robert A. - In: Journal of international economics 33 (1992) 3, pp. 199-219
Persistent link: https://www.econbiz.de/10001135251
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Profit-making speculation in the spot and forward exchange markets : evidence and implications
Sweeney, Richard J. - In: West Coast Academic Federal Reserve Economic Research … 7 (1986), pp. 1-35
Persistent link: https://www.econbiz.de/10001082923
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Information shares of two parallel currency options markets : trading costs versus transparency/tradability
Piccotti, Louis R.; Shraiber, Bentsi - In: Journal of empirical finance 32 (2015), pp. 210-229
Persistent link: https://www.econbiz.de/10011556820
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Essays on the asset-market approach to exchange rates
Engel, Charles Mitchell - 1983
Persistent link: https://www.econbiz.de/10002118628
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The Thursday effect of the forward premium puzzle
Ding, Liang - In: International review of economics & finance : IREF 21 (2012) 1, pp. 302-318
Persistent link: https://www.econbiz.de/10009486120
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Price Overreactions in the Forex and Trading Strategies
Caporale, Guglielmo Maria - 2019
This paper explores price overreactions in the FOREX by using both daily and intraday data on the EURUSD, USDJPY, USDCAD, AUDUSD and EURJPY exchange rates over the period 01.01.2008-31.12.2018. It applies a dynamic trigger approach to detect overreactions and then various statistical methods,...
Persistent link: https://www.econbiz.de/10012889664
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Equity Risk Premia and the Pricing of Foreign Exchange Risk
Korajczyk, Robert A. - 2011
We investigate the relation between the risk premia observed in forward foreign exchange markets and international … equity markets using the Arbitrage Pricing Theory. If returns on well-diversified equity portfolios explain movements in … agents' intertemporal marginal rate of substitution then the time variation in forward risk premia should be explained by the …
Persistent link: https://www.econbiz.de/10013119670