Global risk sentiment and the Swiss franc : a time-varying daily factor decomposition model
Fabian Fink, Lukas Frei, Oliver Gloede
| Year of publication: |
2022
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|---|---|
| Authors: | Fink, Fabian ; Frei, Lukas ; Gloede, Oliver |
| Published in: |
Journal of international money and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0261-5606, ZDB-ID 872014-9. - Vol. 122.2022, p. 1-15
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| Subject: | Carry trade | Factor model | Foreign exchange | Momentum | Safe-haven | Variance decomposition | Schweiz | Switzerland | Volatilität | Volatility | Schweizer Franken | Swiss franc | Dekompositionsverfahren | Decomposition method | Schätzung | Estimation | Devisenmarkt | Foreign exchange market | Wechselkurs | Exchange rate | Kapitaleinkommen | Capital income | Faktorenanalyse | Factor analysis | Währungsspekulation | Currency speculation | Währungsrisiko | Exchange rate risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jimonfin.2021.102539 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013433368