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Tests for a Systematic Risk Component in Deviations From Uncovered Interest Rate Parity

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Cited by:

  1. Malliaropulos, Dimitrios, 1997. "A multivariate GARCH model of risk premia in foreign exchange markets," Economic Modelling, Elsevier, vol. 14(1), pages 61-79, January.
  2. Jeannine Bailliu, 2000. "Private Capital Flows, Financial Development, and Economic Growth in Developing Countries," Staff Working Papers 00-16, Bank of Canada.
  3. Wang, Changyun, 2004. "Futures trading activity and predictable foreign exchange market movements," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1023-1041, May.
  4. Francis, Bill B. & Hasan, Iftekhar & Hunter, Delroy M., 2008. "Can hedging tell the full story? Reconciling differences in United States aggregate- and industry-level exchange rate risk premium," Journal of Financial Economics, Elsevier, vol. 90(2), pages 169-196, November.
  5. Dumas, Bernard & Solnik, Bruno, 1995. "The World Price of Foreign Exchange Risk," Journal of Finance, American Finance Association, vol. 50(2), pages 445-479, June.
  6. Geyikçi, Utku Bora & Özyıldırım, Süheyla, 2021. "To hedge or not to hedge: Carry trade dynamics in the emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
  7. David Watt, 1997. "Canadian Short-Term Interest Rates and the BAX Futures Markets: An Analysis of the Impact of Volatility on Hedging Activity and the Correlation of Returns Between Markets," Staff Working Papers 97-18, Bank of Canada.
  8. Hallerbach, Winfried G.., 2005. "Holding Period Return-Risk Modeling :The Importance of Dividends," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 23, pages 45-65, Abril.
  9. Francis, Bill B. & Hasan, Iftekhar & Hunter, Delroy M., 2008. "Does hedging tell the full story? : Reconciling differences in US aggregate and industry-level exchange rate risk premia," Research Discussion Papers 14/2008, Bank of Finland.
  10. Andrei Semenov, 2003. "High-Order Consumption Moments and Asset Pricing," Working Papers 2003_4, York University, Department of Economics, revised Jan 2005.
  11. Emma M. Iglesias & Garry D. A. Phillips, 2012. "Estimation, Testing, and Finite Sample Properties of Quasi-Maximum Likelihood Estimators in GARCH-M Models," Econometric Reviews, Taylor & Francis Journals, vol. 31(5), pages 532-557, September.
  12. Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
  13. Bartov, Eli & Bodnar, Gordon M. & Kaul, Aditya, 1996. "Exchange rate variability and the riskiness of U.S. multinational firms: Evidence from the breakdown of the Bretton Woods system," Journal of Financial Economics, Elsevier, vol. 42(1), pages 105-132, September.
  14. Hikmet Akyol & Selim Basar, 2024. "Empirical Analysis of Turkish Banking Sector Institutional and Macroeconomic Determinants of Risks," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 73(74-1), pages 59-98, June.
  15. Tai, Chu-Sheng, 1999. "Time-varying risk premia in foreign exchange and equity markets: evidence from Asia-Pacific countries," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 291-316, November.
  16. Beaulieu, Marie-Claude, 1998. "Time to maturity in the basis of stock market indices: Evidence from the S&P 500 and the MMI," Journal of Empirical Finance, Elsevier, vol. 5(3), pages 177-195, September.
  17. Lei Pan & Svetlana Maslyuk-Escobedo & Vinod Mishra, 2019. "Carry Trade Returns and Commodity Prices under Capital and Interest Rate Controls: Empirical Evidence from China," Monash Economics Working Papers 16-18, Monash University, Department of Economics.
  18. Menelaos Karanasos, "undated". "The Covariance Structure of Component and Multivariate Garch Models," Discussion Papers 99/12, Department of Economics, University of York.
  19. Menelaos Karanasos, "undated". "Some Exact Formulae for the Constant Correlation and Diagonal M - Garch Models," Discussion Papers 00/14, Department of Economics, University of York.
  20. Bong-Chan, Kho, 1996. "Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets," Journal of Financial Economics, Elsevier, vol. 41(2), pages 249-290, June.
  21. Angelo Ranaldo & Paul Söderlind, 2010. "Safe Haven Currencies," Review of Finance, European Finance Association, vol. 14(3), pages 385-407.
  22. El Bouhadi, Abdelhamid & Achibane, Khalid, 2009. "The Predictive Power of Conditional Models: What Lessons to Draw with Financial Crisis in the Case of Pre-Emerging Capital Markets?," MPRA Paper 19482, University Library of Munich, Germany.
  23. repec:zbw:bofrdp:2008_014 is not listed on IDEAS
  24. Tai, Chu-Sheng, 2004. "Looking for risk premium and contagion in Asia-Pacific foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 13(4), pages 381-409.
  25. Hong G. Min, 1998. "Dynamic capita mobility, capital market risk, and exchange rate misalignment : evidence from seven Asian Countries," Policy Research Working Paper Series 2025, The World Bank.
  26. Olan Henry, 1999. "The volatility of US term structure term premia 1952 - 1991," Applied Financial Economics, Taylor & Francis Journals, vol. 9(3), pages 263-271.
  27. Christiansen, Charlotte & Ranaldo, Angelo & Söderlind, Paul, 2011. "The Time-Varying Systematic Risk of Carry Trade Strategies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(4), pages 1107-1125, August.
  28. Chan, K. C. & Karolyi, G. Andrew & Stulz, ReneM., 1992. "Global financial markets and the risk premium on U.S. equity," Journal of Financial Economics, Elsevier, vol. 32(2), pages 137-167, October.
  29. Jerome Henry & Jens Weidmann, 2005. "The French-German Interest Rate Differential Since German," International Finance 0503009, University Library of Munich, Germany.
  30. Francis, Bill B. & Hasan, Iftekhar & Hunter, Delroy M., 2002. "Emerging market liberalization and the impact on uncovered interest rate parity," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 931-956, November.
  31. Paul D. McNelis & G.C. Lim, 1998. "Parameterizing Currency Risk in the EMS: The Irish Pound and Spanish Peseta against the German Mark," International Finance 9805001, University Library of Munich, Germany.
  32. Rene M. Stulz, 1994. "International Portfolio Choice and Asset Pricing: An Integrative Survey," NBER Working Papers 4645, National Bureau of Economic Research, Inc.
  33. Tai, Chu-Sheng, 2003. "Can currency risk be a source of risk premium in explaining forward premium puzzle?: Evidence from Asia-Pacific forward exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(4), pages 291-311, October.
  34. Francis, Bill B. & Hasan, Iftekhar & Hunter, Delroy M., 2008. "Does hedging tell the full story? Reconciling differences in US aggregate and industry-level exchange rate risk premia," Bank of Finland Research Discussion Papers 14/2008, Bank of Finland.
  35. Tai, Chu-Sheng, 2001. "A multivariate GARCH in mean approach to testing uncovered interest parity: evidence from Asia-Pacific foreign exchange markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(4), pages 441-460.
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