The predictive performance of the currency futures basis for spot returns
Liyan Han, Xue Jiang and Libo Yin
| Year of publication: |
2019
|
|---|---|
| Authors: | Han, Liyan ; Jiang, Xue ; Yin, Libo |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 3, p. 391-405
|
| Subject: | Currency spot returns | Economic value | Futures basis | Out-of-sample forecasts | Time-varying predictability | Time-varying risk premium | Währungsderivat | Currency derivative | Risikoprämie | Risk premium | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Wechselkurs | Exchange rate | Prognose | Forecast | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1492144 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194660