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The influences of major currencies in foreign exchange markets : a regression-based measure and its application

Kim, Soo-hyun; Lee, Kyuseok - In: International review of finance 16 (2016) 2, pp. 277-289

Persistent link: https://www.econbiz.de/10011713710

Risk Premia in Forward Foreign Exchange Markets : A Comparison of Signal Extraction and Regression Methods

Bidarkota, Prasad V. - 2004

We investigate time varying risk premia in forward dollar/pound monthly exchange rates over the last two decades. We study this issue using a signal plus noise model and separately using regression techniques. Our models account for time varying volatility and non-normalities in the observed...

Persistent link: https://www.econbiz.de/10014070007

The new Fama puzzle

Bussière, Matthieu; Chinn, Menzie David; Ferrara, Laurent - 2018

Persistent link: https://www.econbiz.de/10011812918

Implied volatility linkages among major European currencies

Nikkinen, Jussi; Sahlström, Petri; Vähämaa, Sami - In: Journal of international financial markets, … 16 (2006) 2, pp. 87-103

Persistent link: https://www.econbiz.de/10003300788

Systematic monetary policy and the forward premium puzzle

Tambakis, Demosthenes Nicholas; Tarashev, Nikola A. - 2012

Persistent link: https://www.econbiz.de/10009697337

Implied volatility linkages among major European currencies

Nikkinen, Jussi; Sahlström, Petri; Vähämaa, Sami - In: Essays on option-implied information, (pp. 113-137). 2004

Persistent link: https://www.econbiz.de/10002466584

The 2008 Global Financial Crisis and COVID-19 pandemic : how safe are the safe haven assets?

Cheema, Muhammad A.; Faff, Robert W.; Szulczyk, Kenneth R. - In: Covid economics : vetted and real-time papers (2020) 34, pp. 88-115

Persistent link: https://www.econbiz.de/10012311204

The Swiss franc safety premium

Leutert, Jessica - In: Swiss journal of economics and statistics 154 (2018) 1, pp. 1-21

This paper applies a recent method proposed by Maggiori (The U.S. Dollar Safety Premium, 2013) to estimate the Swiss franc safety premium. The results show that the three-step instrumental variable approach as used by Maggiori does not work for the Swiss franc exchange rates. The price of risk...

Persistent link: https://www.econbiz.de/10011962943

Vehicle currency pricing and exchange rate pass-through

Chen, Natalie; Chung, Wanyu; Novy, Dennis - 2019

Persistent link: https://www.econbiz.de/10012016788

Vehicle currency pricing and exchange rate pass-throug

Chen, Natalie; Chung, Wanyu; Novy, Dennis - 2018

Persistent link: https://www.econbiz.de/10011975061