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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
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A habit-based explanation of the exchange rate risk premium
Verdelhan, Adrien - 2005
Persistent link: https://www.econbiz.de/10003380904
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Exchange rates and long-term bonds
Alexius, Annika; Sellin, Peter - In: The Scandinavian journal of economics 114 (2012) 3, pp. 974-990
Persistent link: https://www.econbiz.de/10009714110
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Tests for a systematic risk component in deviations from uncovered interest rate parity
McCurdy, Thomas H. - In: The review of economic studies 58 (1991) 4, pp. 587-602
Persistent link: https://www.econbiz.de/10001114301
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Puzzles in international financial markets
Lewis, Karen K. - 1995
Persistent link: https://www.econbiz.de/10001327909
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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
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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
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International risk sharing and portfolio choice with incomplete asset markets
Hnatkovska, Viktoria - 2006
Persistent link: https://www.econbiz.de/10003972137
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Exchange risk premia and firm charateristics
Chung, Hyunchul; Majerbi, Basma; Rizeanu, Sorin - In: Emerging markets review 22 (2015), pp. 96-125
Persistent link: https://www.econbiz.de/10011304187
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Essays on exchange rate, sovereign risk and international investment
Wu, Thomas Yen Hon - 2007
Persistent link: https://www.econbiz.de/10009271064