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Exchange risk premia, expectations formation and "news" in the Mexican peso- US dollar forward exchange rate market
Verschoor, Willem F. C.; Wolff, Christiaan Cornelis Petrus - In: International review of financial analysis 10 (2001) 2, pp. 157-174
Persistent link: https://www.econbiz.de/10001603135
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Cointegrating behaviour between spot and forward exchange rates
McMillan, David G. - In: Applied financial economics 15 (2005) 16, pp. 1135-1144
Persistent link: https://www.econbiz.de/10003213501
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King U.S. Dollar, Global Risks, and Currency Option Premiums
Bakshi, Gurdip; Londono, Juan M. - 2022
for the portfolio of investment versus funding currencies. We formalize a theory to understand the properties of currency …
Persistent link: https://www.econbiz.de/10013290134
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Time-varying risk premia and the efficiency of the New Zealand foreign exchange market
Margaritis, Dimitris; Teo, Phay-hoon - 1991
Persistent link: https://www.econbiz.de/10000914878
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Forward intervention, risk premium and the fluctuations of international financial market
Tseng, Hui-kuan - In: Economia internazionale 46 (1993) 2, pp. 276-287
Persistent link: https://www.econbiz.de/10001153273
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Exchange rate shocks, currency options and the Siegel paradox
Bardhan, Indrajit - In: Journal of international money and finance 14 (1995) 3, pp. 441-458
Persistent link: https://www.econbiz.de/10001187518
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Affine models of currency pricing
Backus, David; Foresi, Silverio; Telmer, Chris I. - 1996
Persistent link: https://www.econbiz.de/10000593226
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On the biasedness of forward foreign exchange rates : irrationality or risk premia?
Cavaglia, Stefano M.; Verschoor, Willem F.; Wolff, … - 1993
Persistent link: https://www.econbiz.de/10000143160
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The forward premium puzzle only emerges gradually
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2007
The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive...
Persistent link: https://www.econbiz.de/10011372514
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Gradual learning about shocks and the forward premium puzzle
Moran, Kevin; Nono, Simplice Aimé - In: Journal of international money and finance 88 (2018), pp. 79-100
Persistent link: https://www.econbiz.de/10012000872