Pricing the excess volatility in foreign exchange risk premium and forward rate bias
Tina T. Swan, Bruce Q. Swan and Xinfu Chen
| Year of publication: |
2022
|
|---|---|
| Authors: | Swan, Tina T. ; Swan, Bruce Q. ; Chen, Xinfu |
| Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 29.2022, 1, p. 33-61
|
| Subject: | affine model | forward bias | global factor | gray rhino | risk premium | Term structure | Risikoprämie | Risk premium | Theorie | Theory | Zinsstruktur | Yield curve | Währungsderivat | Currency derivative | Wechselkurs | Exchange rate | Volatilität | Volatility | CAPM | Zinsderivat | Interest rate derivative | Währungsrisiko | Exchange rate risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2022.2108857 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013554066