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Price-setting in the foreign exchange swap market : evidence from order flow
Syrstad, Olav; Viswanath-Natraj, Ganesh - In: Journal of financial economics 146 (2022) 1, pp. 119-142
Persistent link: https://www.econbiz.de/10013482168
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Exchange rates and political uncertainty : the Brexit case
Manasse, Paolo; Moramarco, Graziano; Trigilia, Giulio - 2020
our system estimation. Moreover, the joint estimates of the multi-currency model in the presence of time-varying political …
Persistent link: https://www.econbiz.de/10012158993
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A new technique for estimating currency premiums
Imakubo, Kei; Kamada, Koichiro; Kan, Kazutoshi - 2015
Persistent link: https://www.econbiz.de/10012178418
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Uncovered return parity : equity returns and currency returns
Djeutem, Edouard; Dunbar, Geoffrey R. - In: Journal of international money and finance 128 (2022), pp. 1-25
Persistent link: https://www.econbiz.de/10013438368
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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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The forward-discount puzzle in Central and Eastern Europe
Hayward, Rob; Hölscher, Jens - In: Comparative economic studies 59 (2017) 4, pp. 472-497
Persistent link: https://www.econbiz.de/10011785415
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Exchange rate risk and business cycles
Lloyd, Simon; Marin, Emile A - 2020
Persistent link: https://www.econbiz.de/10012534804
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A century of arbitrage and disaster risk pricing in the foreign exchange market
Corsetti, Giancarlo; Marin, Emile - 2020
Persistent link: https://www.econbiz.de/10012214844
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Variation in the slope coefficient of the Fama regression for testing uncovered interest rate parity : evidence from fixed and time-varying coefficient approaches
Koning, Camiel de; Straetmans, Stefan - 1997
We investigate the potential presence of time variation in the coefficients of the ''Fama regression'' for Uncovered InterestRate Parity. We implement coefficient constancy tests, rolling regression techniques, and stochastic coefficient modelsbased on state space modelling. Among six major US...
Persistent link: https://www.econbiz.de/10010232864