Short-horizon excess returns and exchange rate and interest rate effects
Nathan Lael Joseph, Neophytos Lambertides, Christos S. Savva
| Year of publication: |
July 2015
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|---|---|
| Authors: | Joseph, Nathan Lael ; Lambertides, Neophytos ; Savva, Christos S. |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 37.2015, p. 54-76
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| Subject: | Exchange rate and interest rate effects | Smooth transition function | Bivariate GJR-GARCH-M | Time-varying conditional correlations | Fama-French-Carhart (FFC) factors | Wechselkurs | Exchange rate | Zins | Interest rate | Schätzung | Estimation | Kapitaleinkommen | Capital income | Theorie | Theory | Korrelation | Correlation | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2015.04.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011474975