Are Term Premiums Predictable in Central European Countries? The Forward Rates Agreements (FRA) Application
Author:
Affiliation:
1. Czech Technical University in Prague, Masaryk Institute of Advanced Studies, Praha, Czech Republic, Institute of Economic Studies, Praha, Czech Republic
Funder
This work was supported by the CTU in Prague – Masaryk Institute of Advanced Studies, registered under the code ”RVO32000”
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/00128775.2022.2102507
Reference64 articles.
1. Abbot, Tyler 2017. Heterogeneous Risk Preferences in Financial Markets (November 10, 2017). Paris December 2016 Finance Meeting EUROFIDAI - AFFI. doi:10.2139/ssrn.2786257.
2. Bank capital and exposure to the financial crisis
3. Estimation and Inference of FAVAR Models
4. The forward premium anomaly is not as bad as you think
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