FX Counterparty Risk and Trading Activity in Currency Forward and Futures Markets
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Cited by:
- Hernández, Juan R., 2020.
"Covered Interest Parity: A Stochastic Volatility Approach to Estimate the Neutral Band,"
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- Hernández Juan R., 2020. "Covered Interest Parity: A Stochastic Volatility Approach to Estimate the Neutral Band," Working Papers 2020-02, Banco de México.
- Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2024.
"The Term Structure of Covered Interest Rate Parity Violations,"
Journal of Finance, American Finance Association, vol. 79(3), pages 2077-2114, June.
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- Xue Jiang & Liyan Han & Libo Yin, 2019. "Can skewness of the futures‐spot basis predict currency spot returns?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(11), pages 1435-1449, November.
- Ranaldo, Angelo & Somogyi, Fabricius, 2021.
"Asymmetric information risk in FX markets,"
Journal of Financial Economics, Elsevier, vol. 140(2), pages 391-411.
- Angelo Ranaldo & Fabricius Somogyi, 2018. "Asymmetric Information Risk in FX Markets," Working Papers on Finance 1820, University of St. Gallen, School of Finance, revised Apr 2020.
- Chernov, Mikhail & Augustin, Patrick & Schmid, Lukas & Song, Dongho, 2020. "The term structure of CIP violations," CEPR Discussion Papers 14774, C.E.P.R. Discussion Papers.
- Angelo Ranaldo & Paolo Santucci de Magistris, 2018. "Trading Volume, Illiquidity and Commonalities in FX Markets," Working Papers on Finance 1823, University of St. Gallen, School of Finance, revised Oct 2019.
- Liao, Gordon Y., 2020.
"Credit migration and covered interest rate parity,"
Journal of Financial Economics, Elsevier, vol. 138(2), pages 504-525.
- Gordon Y. Liao, 2016. "Credit Migration and Covered Interest Rate Parity," Working Paper 468601, Harvard University OpenScholar.
- Gordon Y. Liao, 2019. "Credit Migration and Covered Interest Rate Parity," International Finance Discussion Papers 1255, Board of Governors of the Federal Reserve System (U.S.).
- Vladyslav Sushko & Claudio Borio & Robert Neil McCauley & Patrick McGuire, 2016. "The failure of covered interest parity: FX hedging demand and costly balance sheets," BIS Working Papers 590, Bank for International Settlements.
- Kuga Iakov & Elena Kuzmina, 2016. "Covered interest parity: evidence from Russian money market," EERC Working Paper Series 16/01e, EERC Research Network, Russia and CIS.
- Claudio Borio & Robert Neil McCauley & Patrick McGuire & Vladyslav Sushko, 2016. "Covered interest parity lost: understanding the cross-currency basis," BIS Quarterly Review, Bank for International Settlements, September.
- Angrick, Stefan & Nemoto, Naoko, 2018. "Breaking Par: Short-Term Determinants of Yen-Dollar Swap Deviations," ADBI Working Papers 859, Asian Development Bank Institute.
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JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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