Violations of uncovered interest rate parity and international exchange rate dependences
Matthew Ames, Guillaume Bagnarosa, Gareth W. Peters
| Year of publication: |
May 2017
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|---|---|
| Authors: | Ames, Matthew ; Bagnarosa, Guillaume ; Peters, Gareth |
| Published in: |
Journal of international money and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0261-5606, ZDB-ID 872014-9. - Vol. 73.2017, part A, p. 162-187
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| Subject: | Forward premium puzzle | Speculative trading volumes | Multivariate tail dependence | Mixture copula models | Currency carry trade | Covariance regressions | Zinsparität | Interest rate parity | Wechselkurs | Exchange rate | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Kapitaleinkommen | Capital income | Risikoprämie | Risk premium | Devisenmarkt | Foreign exchange market | Statistische Verteilung | Statistical distribution | Spekulation | Speculation | Schätzung | Estimation | Korrelation | Correlation | Handelsvolumen der Börse | Trading volume | Währungsderivat | Currency derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jimonfin.2017.01.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011787712