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Khorrami, Paymon; Zentefis, Alexander K. - 2020

exists, arbitrage opportunities must also exist. Conversely, at times when arbitrage profits exist, asset markets are … susceptible to self-fulfilling fluctuations. The tight theoretical connection between price volatility and arbitrage is detectable …

Persistent link: https://www.econbiz.de/10012260973

Exchange rate risk and business cycles

Lloyd, Simon; Marin, Emile A - 2020

Persistent link: https://www.econbiz.de/10012534804

Put-Call parities, absence of arbitrage opportunities, and nonlinear pricing rules

Bastianello, Lorenzo; Chateauneuf, Alain; Cornet, Bernard - In: Mathematical finance : an international journal of … 34 (2024) 4, pp. 1242-1262

Persistent link: https://www.econbiz.de/10015149385

Long-run equilibrium in international assets and goods markets : why is the law of one price required?

Bosi, Stefano; Fontaine, Patrice; Cuong Le Van - In: Journal of economic behavior & organization : JEBO 190 (2021), pp. 891-904

Persistent link: https://www.econbiz.de/10013188474

Global macro risks in currency excess returns

Berg, Kimberly A.; Mark, Nelson C. - 2016

We study a cross section of carry-trade-generated currency excess returns in terms of their exposure to global fundamental macroeconomic risk. The cross-country high-minuslow (HML) conditional skewness of the unemployment gap - our measure of global macroeconomic uncertainty - is a factor that...

Persistent link: https://www.econbiz.de/10011517046

Exchange rate risk and business cycles

Lloyd, Simon; Marin, Emile A. - 2021

Persistent link: https://www.econbiz.de/10012793070

Currency returns and systematic risk

Gonçalves, Fernanda; Ferreira, Giuliano de Queiroz; … - In: The Manchester School 90 (2022) 6, pp. 609-647

Persistent link: https://www.econbiz.de/10013414307

The term structure of currency futures' risk premia

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - In: Journal of money, credit and banking : JMCB 54 (2022) 1, pp. 5-38

Persistent link: https://www.econbiz.de/10012819558

Consumption risk and FX trading returns

Klein, Alina F.; Klein, Rudolf F. - In: International journal of economic perspectives : IJEP 6 (2012) 4, pp. 73-92

Persistent link: https://www.econbiz.de/10011587224

Currency futures' risk premia and risk factors

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2020

The use of futures exchange contracts instead of forwards completes the maturity spectrum of the correlation between the spot yield and the premium. We ﬁnd that the forward premium puzzle (FFP) depends signiﬁcantly on the maturity horizon of the futures contract and the choice of sampling...

Persistent link: https://www.econbiz.de/10012209529