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The Forward Premium Puzzle and Latent Factors Day by Day

Bernoth, Kerstin - 2010

We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...

Persistent link: https://www.econbiz.de/10013141467

The Forward Premium Puzzle and Latent Factors Day by Day

Bernoth, Kerstin - 2011

Persistent link: https://www.econbiz.de/10013119324

The forward premium puzzle and latent factors day by day

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2010

Persistent link: https://www.econbiz.de/10003949496

Noise traders' trigger rates, FX options, and smiles

Pierdzioch, Christian - 2000

Persistent link: https://www.econbiz.de/10013261076

Noise traders' trigger rates, FX options, and smiles

Pierdzioch, Christian - 2000

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

Persistent link: https://www.econbiz.de/10011476532

Predictability in international stock returns using currency fluctuations and forward rate forecasts

Wang, Jiexin; Han, Xue; Huang, Emily J.; Yost-Bremm, Chris - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012656847

The relationship between futures trading activity and exchange rate volatility, revisited

Bhargava, Vivek; Malhotra, Davinder Kumar - In: Journal of multinational financial management 17 (2007) 2, pp. 95-111

Persistent link: https://www.econbiz.de/10003441938

Stock and currency market linkages : new evidence from realized spillovers in higher moments

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of economics & finance : IREF 42 (2016), pp. 167-185

Persistent link: https://www.econbiz.de/10011625106

Exchange return co-movements and volatility spillovers before and after the introduction of euro

Antonakakis, Nikolaos - In: Journal of international financial markets, … 22 (2012) 5, pp. 1091-1109

Persistent link: https://www.econbiz.de/10010220182

Exchange return co-movements and volatility spillovers before and after the introduction of euro

Antonakakis, Nikolaos - 2012

Persistent link: https://www.econbiz.de/10009559164