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Min-woo Kang
This study aims to test the efficiency of the Korean foreign exchange market and examine its determinants through several well-established methodologies based on the forward rate unbiasedness hypothesis and covered interest rate parity. The empirical fin...
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Chen Kuo-Shing,Chen Chun-Ming,Lee Chien-Chiang
Pág. 420 - 428
This study applies interest parity theory including Covered Interest Parity (CIP) to examine the 30-, 60-.90-, and 180-day maturities for the NTD/USD foreign exchange (FX) market. In the empirical unit root tests, we find that NTD/USD forward premium and...
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Alberto Ronchi Neto,Osvaldo Candido
Pág. 251 - 287
This paper evaluates methods that employ Kalman Filter to estimate Diebold and Li (2006) extensions in a state-space representation, applying the Nelson and Siegel (1987) function as measure equation and different specifications for the transition equati...
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C. de J. Correia,R. F. Knight
AbstractThe Interest Parity Theory states that in an efficient market, any interest differential between local and foreign sources of finance will be offset by the forward premium/discount. Therefore, opportunities to engage in profitable Covered Interes...
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