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A non-parametric analysis of covered interest parity in long-date capital markets

  • Published:1994-08 Issue:4 Volume:13 Page:459-475
  • ISSN:0261-5606
  • Container-title:Journal of International Money and Finance
  • language:en
  • Short-container-title:Journal of International Money and Finance

Author:

Fletcher Donna J.,Taylor Larry W.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference32 articles.

1. At Last, a Swaps Primer;Abdullah;Financial Executive,1988

2. Developments in International Capital Mobility: A Perspective on the Underlying Forces and the Empirical Literature;Akhtar,1987

3. The Interest Rate Parity Theorem: A Reinterpretation;Aliber;Journal of Political Economy,1973

4. Transaction Costs and the Interest Parity Theorem;Bahmani-Oskooee;Journal of Political Economy,1985

5. Relationships Between Interest Rate Swaps and Cross-Currency Swaps;Batlin,1991

Cited by 14 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The Term Structure of Covered Interest Rate Parity Violations;The Journal of Finance;2024-03-31

2. Cross-currency basis swap spreads and corporate dollar funding;Journal of International Financial Markets, Institutions and Money;2023-06

3. Covered interest rate parity deviations in the Asia-Pacific;Journal of International Financial Markets, Institutions and Money;2022-03

4. Covered interest parity and arbitrage paradox in emerging markets: Evidence from the Korean market;Pacific-Basin Finance Journal;2016-06

5. Dislocations in the Currency Swap and Interest Rate Swap Markets: The Case of Korea;Journal of Futures Markets;2014-04-08
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