Covered interest parity in cross-currency swap bases and demand for US treasuries
Cho-Hoi Hui, Chi-Fai Lo and Chin-To Fung
| Year of publication: |
2020
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|---|---|
| Authors: | Hui, Cho H. ; Lo, Chi-Fai ; Fung, Chin-To |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 7.2020, 2, p. 1-28
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| Subject: | covered interest parity | Cross-currency basis swaps | non-Gaussian affine term-structure models | safe assets | treasuries | Zinsparität | Interest rate parity | Währungsderivat | Currency derivative | Swap | USA | United States | Zinsstruktur | Yield curve | Öffentliche Anleihe | Public bond | Staatspapier | Government securities | Welt | World | US-Dollar | US dollar | Internationaler Finanzmarkt | International financial market | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786320500188 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012602952