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Monetary integration and the cost of borrowing

Gómez Puig, Marta - In: Journal of international money and finance 27 (2008) 3, pp. 455-479

Persistent link: https://www.econbiz.de/10003717259

A survey on modeling and analysis of basis spreads

Fujii, Masaaki; Takahashi, Akihiko - In: Recent advances in financial engineering 2011: …, (pp. 43-53). 2012

Persistent link: https://www.econbiz.de/10009573489

Random walks in fixed income and foreign exchange : unexpected discoveries in issuance, investment and hedging of yield curve instruments

James, Jessica; Leister, Michael; Rieger, Christoph - 2021

Persistent link: https://www.econbiz.de/10012228798

Estimating a latent risk premium in exchange rate futures

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2018

Using exchange rates futures instead of forwards completes the maturity spectrum of the correlation between the spot return and the premium. The correlation decreases with increasing maturity, presumably due to a latent risk premium. We hypothesize that the influence of the unobserved risk...

Persistent link: https://www.econbiz.de/10011843349

Random Walks in Fixed Income and Foreign Exchange : Unexpected Discoveries in Issuance, Investment and Hedging of Yield Curve Instruments

James, Jessica; Leister, Michael; Rieger, Christoph - 2021

Frontmatter -- Advance Praise for Random Walks in Fixed Income and Foreign Exchange -- Foreword -- Contents -- Preface -- Chapter 1 What Really is the Cross-Currency Basis? -- Chapter 2 XVA and the Cross-Currency Basis -- Chapter 3 Calculating Novel Cross-Currency Bases and FX Hedged Pickups --...