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Carry trade and foreign exchange rate puzzles
Spronk, Richard; Verschoor, Willem F. C.; Zwinkels, … - In: European economic review : EER 60 (2013), pp. 17-31
Persistent link: https://www.econbiz.de/10009762410
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Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions
Baillie, Richard; Kim, Kun Ho - In: Journal of empirical finance 34 (2015), pp. 99-111
Persistent link: https://www.econbiz.de/10011557073
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Explaining exchange rate anomalies in a model with taylor-rule fundamentals and consistent expectations
Lansing, Kevin J.; Ma, Jun - 2014
Persistent link: https://www.econbiz.de/10010407463
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Violations of uncovered interest rate parity and international exchange rate dependences
Ames, Matthew; Bagnarosa, Guillaume; Peters, Gareth - In: Journal of international money and finance 73 (2017), pp. 162-187
Persistent link: https://www.econbiz.de/10011787712
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Explaining exchange rate anomalies in a model with Taylor-rule fundamentals and consistent expectations
Lansing, Kevin J.; Ma, Jun - In: Journal of international money and finance 70 (2017), pp. 62-87
Persistent link: https://www.econbiz.de/10011752316
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Asset prices with stochastic volatilities and a UIP puzzle
Lee, Eunhee - In: International review of economics & finance : IREF 64 (2019), pp. 41-61
Persistent link: https://www.econbiz.de/10012322223
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Common Forward Rate Volatility
Kim, Kyounghee - 2010
Statistical analyses of forward interest rate behavior provide evidence that these rates share a common volatility. We develop a risk-neutral term structure model based on this assumption. The main feature of this model is that each discounted bond price is both an explicit local martingale and...
Persistent link: https://www.econbiz.de/10013152914
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Understanding the price of volatility risk in carry trades
Ahmed, Shamim; Valente, Giorgio - In: Journal of banking & finance 57 (2015), pp. 118-129
Persistent link: https://www.econbiz.de/10011543818
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Arbitrage and beliefs
Khorrami, Paymon; Zentefis, Alexander K. - 2020
exists, arbitrage opportunities must also exist. Conversely, at times when arbitrage profits exist, asset markets are … susceptible to self-fulfilling fluctuations. The tight theoretical connection between price volatility and arbitrage is detectable …
Persistent link: https://www.econbiz.de/10012260973
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Forecasting swap rate volatility with information from swaptions
Liu, Xiaoxi; Xie, Jinming - 2023
Persistent link: https://www.econbiz.de/10013502696