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Currency futures' risk premia and risk factors
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2020
The use of futures exchange contracts instead of forwards completes the maturity spectrum of the correlation between the spot yield and the premium. We find that the forward premium puzzle (FFP) depends significantly on the maturity horizon of the futures contract and the choice of sampling...
Persistent link: https://www.econbiz.de/10012209529
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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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Systematic consumption risk in currency returns
Hoffmann, Mathias; Studer-Suter, Rahel - In: Journal of international money and finance 74 (2017), pp. 187-208
Persistent link: https://www.econbiz.de/10011787938
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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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Interest parity, risk premia, and Post Keynesian analysis
Lavoie, Marc - In: Journal of post-Keynesian economics : JPKE 25 (2002/2003) 2, pp. 237-249
Persistent link: https://www.econbiz.de/10001724719
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The economics of currency risk
Hassan, Tarek A.; Zhang, Tony - In: Annual review of economics 13 (2021), pp. 281-307
Persistent link: https://www.econbiz.de/10012612565
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A century of arbitrage and disaster risk pricing in the foreign exchange market
Corsetti, Giancarlo; Marin, Emile A. - 2020
Persistent link: https://www.econbiz.de/10013190685
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A century of arbitrage and disaster risk pricing in the foreign exchange market
Corsetti, Giancarlo; Marin, Emile A. - 2020
Persistent link: https://www.econbiz.de/10012501062
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FX liquidity risk and forward premium puzzle
Abankwa, Samuel - In: Quarterly journal of finance & accounting : QJFA 58 (2020) 1/2, pp. 101-132
Persistent link: https://www.econbiz.de/10012288688
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The economics of currency risk
Hassan, Tarek A.; Zhang, Tony - 2020
Persistent link: https://www.econbiz.de/10012306006