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Booth Laurence D BidAsk Spreads in the Market of Forward
Cornell Bradford W Determinants of the BidAsk Spread on Forward
Mark Nelson C On Time Varying Risk Premia in the Foreign Exchange
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aggregate analysis arbitrage assume assumption autocorrelated bid-ask spread Central Bank chapter CM CM CM Covariance Matrix covered interest operations dealer defined deviations from interest different from zero domestic currency DU)FUT dummy variables equation 21 equilibrium forward exchange Estimated Coefficients ESTIMATION OF EQUATION exchange rate determination exchange risk expected utility first-order conditions Fisher Hypothesis foreign assets foreign currency foreign exchange market forward contracts forward exchange determination forward exchange market forward exchange rate forward market Frenkel holdings of foreign implies individual interest parity interest rate parity intervention risks IRPT LFUT logarithms major devaluation Matrix of Estimated Mexican peso forward model of forward multicollinearity Number of Observations optimization problem parameters parity condition policy risk presence of political probability of devaluation real exchange rate represented by equation risk aversion risk premium serial correlation spot exchange rate stochastic process tion transaction costs U.S. dollar undervalue Variance Covariance Matrix