Exchange rates, uncovered interest parity, and time-varying fama regressions
Bowen Fu, Mengheng Li, Qazi Haque
| Year of publication: |
2025
|
|---|---|
| Authors: | Fu, Bowen ; Li, Mengheng ; Haque, Qazi |
| Published in: |
Journal of applied econometrics. - Chichester [u.a.] : Wiley, ISSN 1099-1255, ZDB-ID 1500458-2. - Vol. 40.2025, 3, p. 310-324
|
| Subject: | Bayesian time-varying regression | exchange rate volatility puzzle | forward premium puzzle | stochastic volatility | uncovered interest rate parity | Zinsparität | Interest rate parity | Wechselkurs | Exchange rate | Volatilität | Volatility | Schätzung | Estimation | Regressionsanalyse | Regression analysis | Risikoprämie | Risk premium | Theorie | Theory | Zinsstruktur | Yield curve | Währungsderivat | Currency derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/jae.3111 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015372763