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Three essays in international finance and financial economics
Hu, Xiaoqiang - 1994
Persistent link: https://www.econbiz.de/10000916084
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How big is the premium for currency risk?
De Santis, Giorgio - In: Journal of financial economics 49 (1998) 3, pp. 375-412
Persistent link: https://www.econbiz.de/10001246742
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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 … currency returns. But only in the pre-crisis period and when the maturity of the assets is longer than about three months. …
Persistent link: https://www.econbiz.de/10012209529
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The term structure of currency futures' risk premia
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - In: Journal of money, credit and banking : JMCB 54 (2022) 1, pp. 5-38
Persistent link: https://www.econbiz.de/10012819558
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Stock return predictability and variance risk premia : statistical inference and international evidence
Bollerslev, Tim; Marrone, James; Xu, Lai; Zhou, Hao - 2011
Persistent link: https://www.econbiz.de/10009406434
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Stock return predictability and variance risk premia : statistical inference and international evidence
Bollerslev, Tim; Marrone, James; Xu, Lai; Zhou, Hao - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 3, pp. 633-661
Persistent link: https://www.econbiz.de/10010487089
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Economic foundations of capital market returns
Singer, Brian D.; Terhaar, Kevin - 1997
Persistent link: https://www.econbiz.de/10001425903
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The missing risk premium in exchange rates
Dahlquist, Magnus; Penasse, Julien - 2017
Persistent link: https://www.econbiz.de/10011817659
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Forward and spot exchange rates in a multi-currency world
Hassan, Tarek A.; Mano, Rui C. - 2014
Persistent link: https://www.econbiz.de/10010391780
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Forward and spot exchange rates in a multi-currency world
Hassan, Tarek A.; Mano, Rui C. - 2014
Persistent link: https://www.econbiz.de/10010395177