Nonlinear dynamics and covered interest rate parity
This paper examines the dynamics of deviations from covered interest parity using daily data
on the UK/US spot, forward exchange rates and interest rates over the period January 1974 …
on the UK/US spot, forward exchange rates and interest rates over the period January 1974 …
Covered interest rate parity deviations in the Asia-Pacific
C Bilson, T Brailsford, G Rajaguru - Journal of International Financial …, 2022 - Elsevier
Recent evidence has documented a failure in the covered interest rate parity (CIP) condition
post Global Financial Crisis (post-GFC). Using a model which incorporates the transaction …
post Global Financial Crisis (post-GFC). Using a model which incorporates the transaction …
[图书][B] Forecasting and hedging in the foreign exchange markets
C Ullrich - 2009 - books.google.com
Historical and recent developments at international? nancial markets show that it is easy to
loose money, while it is dif? cult to predict future developments and op-mize decision …
loose money, while it is dif? cult to predict future developments and op-mize decision …
Lecture Notes in Economics and Mathematical Systems 591
Almost all economic activities in modern societies are scattered through space and time.
Transport processes, as a consequence, pervade everyday life and they have deep impact …
Transport processes, as a consequence, pervade everyday life and they have deep impact …
An ex-post investigation of interest rate parity in Asian emerging markets.
This paper investigates the uncovered interest parity theory for the three emerging markets
of Korea, the Philippines, and Thailand. The study provides evidence on the efficiency of the …
of Korea, the Philippines, and Thailand. The study provides evidence on the efficiency of the …
Parity conditions and the efficiency of the Australian 90-and 180-day forward markets
B Felmingham, SS Leong - Review of Financial Economics, 2005 - Elsevier
Covered Interest Parity (CIP) holds in the 90 and 180 forward market for the AUD/USD spot
exchange rate provided fully modified least absolute deviation model (FM-LAD) procedures …
exchange rate provided fully modified least absolute deviation model (FM-LAD) procedures …
A survey of exchange rate fluctuation on tea export earnings among smallholder tea factories in Kenya
CK Cherop - 2010 - erepository.uonbi.ac.ke
This study sets out on a survey to establish how earnings among smallholder tea factories
are affected by this arrangement. The smallholder tea factories are managed by KTDA Ltd …
are affected by this arrangement. The smallholder tea factories are managed by KTDA Ltd …
A network model for foreign exchange arbitrage, hedging and speculation
CK Jones - International Journal of Theoretical and Applied …, 2001 - World Scientific
This paper presents alternative approach to foreign exchange market trading decisions. The
model is equally applicable to the arbitrage practices of international banks, to the hedging …
model is equally applicable to the arbitrage practices of international banks, to the hedging …
[PDF][PDF] 即期匯率目標區下的蜜月效果分析─ 即期匯率與股價雙預期變數的考量
廖培賢 - 經濟研究(Taipei Economic Inquiry), 2012 - econ.ntpu.edu.tw
摘要本文企圖結合Eaton and Turnovsky (1982, 1984) 考量遠期外匯市場的開放經濟一般均衡
模型與Blanchard (1981) 兼顧股票市場的封閉總體經濟理論架構兩者特色 …
模型與Blanchard (1981) 兼顧股票市場的封閉總體經濟理論架構兩者特色 …
Approximation and computation of arbitrage in frictional foreign exchange market
M Cai, X Deng - Electronic Notes in Theoretical Computer Science, 2003 - Elsevier
In this paper we study the computational complexity of arbitrage in a frictional foreign
exchange market with bid-ask spreads, bound and integrality constraints. We show that the …
exchange market with bid-ask spreads, bound and integrality constraints. We show that the …