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Cross-currency basis swap spreads and corporate dollar funding
David-Pur, Lior; Galil, Koresh; Rosenboim, Mosi; … - In: Journal of international financial markets, … 85 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014433286
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Does the swap-covered interest parity still hold in long-term capital markets after the financial crisis? : evidence from cross-currency basis swaps
Hattori, Takahiro - In: International review of economics & finance : IREF 79 (2022), pp. 224-240
Persistent link: https://www.econbiz.de/10013343385
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What do deviations from covered interest parity and higher FX hedging costs mean for Asia?
Hong, Gee Hee; Oeking, Anne; Kang, Kenneth H.; Rhee, … - In: Open economies review 32 (2021) 2, pp. 361-394
Persistent link: https://www.econbiz.de/10012548754
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Carry trades, momentum trading and the forward premium anomaly
Baillie, Richard; Chang, Sanders S. - In: Journal of financial markets 14 (2011) 3, pp. 441-464
Persistent link: https://www.econbiz.de/10009261760
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Can time-varying risk premiums explain the excess returns in the interest rate parity condition?
Aysun, Uluc; Lee, Sanglim - In: Emerging markets review 18 (2014), pp. 78-100
Persistent link: https://www.econbiz.de/10010417528
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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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Can country-specific interest rate factors explain the forward premium anomaly?
Argyropoulos, Efthymios; Elias, Nikolaos; Smyrnakis, … - In: Journal of economics and finance : JEF 45 (2021) 2, pp. 252-269
Persistent link: https://www.econbiz.de/10012496681
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The forward premium anomaly and the currency carry trade hypothesis
Elias, Nikolaos; Smyrnakis, Dimitris; Tzavalis, Elias - In: The quarterly review of economics and finance 95 (2024), pp. 203-218
Persistent link: https://www.econbiz.de/10014631499
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Cross-currency credit spreads : harvesting the idiosyncratic basis as a source of ARP
Henide, Karim - In: Journal of derivatives and quantitative studies 30 (2022) 2, pp. 74-88
adherence of the idiosyncratic basis to the no-arbitrage condition is subsequently evaluated through the application of an … indicative market-neutral credit strategy that is designed to harvest the apparent static arbitrage opportunities. The success of … the strategy, which systematically captures the idiosyncratic basis as it adheres to the no-arbitrage conditions, is …
Persistent link: https://www.econbiz.de/10013202388
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Covered interest parity with default risk
Csávás, Csaba - In: The European journal of finance 22 (2016) 10/12, pp. 1130-1144
Persistent link: https://www.econbiz.de/10011715322