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Risk premia in the term structure of interest rates : a panel data approach

Bams, Dennis - 2000

Persistent link: https://www.econbiz.de/10013423017

Risk premia in the term structure of interest rates : a panel data approach

Bams, Dennis; Wolff, Christiaan Cornelis Petrus - In: Journal of international financial markets, … 13 (2003) 3, pp. 211-236

Persistent link: https://www.econbiz.de/10001754268

Exchange rate returns, "news", and risk premia

Koedijk, Kees; Wolff, Christiaan Cornelis Petrus - In: Economics letters 50 (1996) 1, pp. 127-134

Persistent link: https://www.econbiz.de/10001194154

Time variation in term premia : international evidence

Jongen, Ron; Verschoor, Willem F. C.; Wolff, Christiaan … - 2005

Persistent link: https://www.econbiz.de/10002754760

Forecasting the spot exchange rate with the term structure of forward premia : multivariate threshold cointegration

Tol, Michel R. van; Wolff, Christiaan Cornelis Petrus - 2005

Persistent link: https://www.econbiz.de/10002754770

Time-variation in term premia : international survey-based evidence

Jongen, Ron; Verschoor, Willem F. C.; Wolff, Christiaan … - In: Journal of international money and finance 30 (2011) 4, pp. 605-622

Persistent link: https://www.econbiz.de/10009268802

Are capital controls in the foreign exchange market effective?

Straetmans, Sefan; Versteeg, Roald; Wolff, Christiaan … - 2008

Persistent link: https://www.econbiz.de/10003676033

Direct estimation of the risk neutral factor dynamcis of Gaussian term structure models

Bams, Dennis; Schotman, Peter C. - In: Journal of econometrics 117 (2003) 1, pp. 179-206

Persistent link: https://www.econbiz.de/10001787610

Direct estimation of the risk neutral factor dynamics of affine term structure models

Bams, Dennis - 1998

Persistent link: https://www.econbiz.de/10013422670

Interest Expectations and Exchange Rates News

Cavaglia, Stefano M.; Koedijk, Kees C. G.; Verschoor, … - 1999

Using a new survey data set of matched exchange rate and interest rate expectations for eight currencies relative to the German mark, we examine empirically the relationship between exchange rate returns, "news" and risk premia. "News" on interest differentials enters significantly in equations...

Persistent link: https://www.econbiz.de/10014206493