Forex swap premiums, shock response and covered profits: an ARDL–EGARCH model analysis
Author:
Affiliation:
1. Zhejiang A&F University, Hangzhou, China
2. Zhejiang University, Hangzhou, China
Funder
Zhejiang Provincial Natural Science Foundation of China
Scientific Research Foundation of Zhejiang A & F University
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/13504851.2019.1592102
Reference9 articles.
1. Avdjiev, S., W. Du, C. Koch, and H. S. Shin. 2017. “The Dollar, Bank Leverage and the Deviation from Covered Interest Parity.” BIS Working Paper, 592.
2. Interpreting deviations from covered interest parity during the financial market turmoil of 2007–08
3. Deviations from Covered Interest Rate Parity
4. The microstructure of covered interest arbitrage in a market with a dominant market maker
5. The Covered-Arbitrage Schedule: A Critical Survey of Recent Developments
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