The term structure of currency futures' risk premia
Kerstin Bernoth, Jürgen Von Hagen, Casper De Vries
| 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
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| Subject: | capital asset pricing model | currency excess returns | forward premium puzzle | futures rates | price of risk | uncovered interest parity | Währungsderivat | Currency derivative | CAPM | Risikoprämie | Risk premium | Zinsparität | Interest rate parity | Zinsstruktur | Yield curve | Theorie | Theory | Währungsrisiko | Exchange rate risk | Schätzung | Estimation | Währungsspekulation | Currency speculation | Kapitaleinkommen | Capital income | Equity-Premium-Puzzle | Equity premium puzzle |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/jmcb.12872 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012819558