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Currency futures' risk premia and risk factors

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 period. Th...

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Bibliographic Details
Authors and Corporations: Bernoth, Kerstin (Author), Hagen, Jürgen von (Author), Vries, Casper G. de (Author)
Other Authors: Hagen, Jürgen von (VerfasserIn) 1955- , Vries, Casper G. de (VerfasserIn) 1955-
Type of Resource: E-Book
Language: English
Berlin DIW Berlin, German Institute for Economic Research 2020
Series: Deutsches Institut für Wirtschaftsforschung: Discussion papers ; 1866
Source: Verbunddaten SWB
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