Affine Models of the Joint Dynamics of Exchange Rates and Interest Rates
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 45 (2010)
Issue (Month): 05 (October)
Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Web page: http://journals.cambridge.org/jid_JFQProvider-Email:firstname.lastname@example.org
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- A. Craig Burnside & Jeremy J. Graveline, 2012.
"Exchange Rate Determination, Risk Sharing and the Asset Market View,"
NBER Working Papers
18646, National Bureau of Economic Research, Inc.
- A. Craig Burnside & Jeremy J. Graveline, 2013. "Exchange Rate Determination, Risk Sharing and the Asset Market View," Working Papers 13-1, Duke University, Department of Economics.
- Sen Dong, 2006. "Monetary Policy Rules and Exchange Rates:A Structural VAR Identified by No Arbitrage," 2006 Meeting Papers 875, Society for Economic Dynamics.
- Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2010. "Properties of Foreign Exchange Risk Premia," MPRA Paper 21302, University Library of Munich, Germany.
- Yin, Weiwei & Li, Junye, 2014. "Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 46-64.
- Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2012.
"Properties of foreign exchange risk premiums,"
Journal of Financial Economics,
Elsevier, vol. 105(2), pages 279-310.
- Lucio Sarno & Paul Schneider & Christian Wagner, 2012. "Properties of Foreign Exchange Risk Premiums," Working Paper Series 10_12, The Rimini Centre for Economic Analysis.
- Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2011. "Properties of Foreign Exchange Risk Premiums," CEPR Discussion Papers 8503, C.E.P.R. Discussion Papers.
- Gregory H. Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Working Papers 12-5, Bank of Canada.
- Vilimir Yordanov, 2012. "The Bulgarian Foreign and Domestic Debt – A No-Arbitrage Macrofinancial View," William Davidson Institute Working Papers Series wp1032, William Davidson Institute at the University of Michigan.
- Fousseni Chabi-Yo & Jun Yang, 2007. "A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate," Working Papers 07-21, Bank of Canada.
- Georg Mosburger & Paul Schneider, 2005. "Modelling International Bond Markets with Affine Term Structure Models," Finance 0509003, EconWPA.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).
If references are entirely missing, you can add them using this form.