Covered interest parity: a forecasting approach to estimate the neutral band
by Juan R. Hernández
| Year of publication: |
August 2024
|
|---|---|
| Authors: | Hernández, Juan R. |
| Publisher: |
[Basel] : Bank for International Settlements, Monetary and Economic Department |
| Subject: | Covered interest parity | carry trade | stochastic volatility | predictive distribution | Zinsparität | Interest rate parity | Prognoseverfahren | Forecasting model | Wechselkurs | Exchange rate | Volatilität | Volatility | Theorie | Theory | US-Dollar | US dollar | Schätzung | Estimation | Zustandsraummodell | State space model |
freely available
| Extent: | 1 Online-Ressource (circa 31 Seiten) Illustrationen |
|---|---|
| Series: | Working papers / Bank for International Settlements. - Basle, ISSN 1682-7678, ZDB-ID 2467027-3. - Vol. no 1206 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Notes: | Earlier versions circulated under the title "Covered Interest Parity: A Stochastic Volatility Approach to Estimate the Neutral Band" and were developed while the author was affiliated to Banco de México. |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015078620