The term structure of currency futures' risk premia
Year of publication: |
2022
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---|---|
Authors: | Bernoth, Kerstin ; Hagen, Jürgen von ; Vries, Casper G. de |
Published in: |
Journal of money, credit and banking : JMCB. - Oxford : Wiley-Blackwell, ISSN 1538-4616, ZDB-ID 2010422-4. - Vol. 54.2022, 1, p. 5-38
|
Subject: | capital asset pricing model | currency excess returns | forward premium puzzle | futures rates | price of risk | uncovered interest parity | CAPM | Risikoprämie | Risk premium | Währungsderivat | Currency derivative | Zinsparität | Interest rate parity | Zinsstruktur | Yield curve | Schätzung | Estimation | Theorie | Theory | Währungsrisiko | Exchange rate risk | Kapitaleinkommen | Capital income | Welt | World | Währungsspekulation | Currency speculation | Equity-Premium-Puzzle | Equity premium puzzle |
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