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Arbitrage-free affine models of the forward price of foreign currency
Durham, J. Benson - 2014
Forward foreign exchange contracts embed not only expected depreciation but also a sizable premium, which complicates inferences about anticipated returns. This study derives arbitrage-free affine forward currency models (AFCMs) with closed-form expressions for both unobservable variables. Model...
Persistent link: https://www.econbiz.de/10010393225
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Economic growth and institutions : some sensitivity analyses, 1961-2000
Durham, J. Benson - In: International organization : IO 58 (2004) 3, pp. 485-529
Persistent link: https://www.econbiz.de/10002198316
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Do smaller budget deficits and inflation targets lower disinflation costs?
Durham, J. Benson - In: Journal / The Capco Institute : journal of financial … (2003) 7, pp. 25-29
Persistent link: https://www.econbiz.de/10001981770
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Sensitivity analyses of anomalies in developed stock markets
Durham, J. Benson - In: Journal of banking & finance 25 (2001) 8, pp. 1503-1541
Persistent link: https://www.econbiz.de/10001594013
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The extreme bounds of the cross-section of expected stock returns
Durham, J. Benson - 2002
Persistent link: https://www.econbiz.de/10001706680
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The effect of monetary policy on monthly and quarterly stock market returns : cross-country evidence and sensitivity analyses
Durham, J. Benson - 2001
Persistent link: https://www.econbiz.de/10001630694
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Does monetary policy affect stock prices and treasury yields? : An error correction and simultaneous equation approach
Durham, J. Benson - 2003
Persistent link: https://www.econbiz.de/10001759542
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Absorptive capacity and the effects of foreign direct investment and equity foreign portfolio investment on economic growth
Durham, J. Benson - In: European economic review : EER 48 (2004) 2, pp. 285-306
Persistent link: https://www.econbiz.de/10001972099