Buscar
Mostrando ítems 1-10 de 346
Can a habit formation model really explain the forward premium anomaly?
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2009-05-12)
Verdelhan (2009) shows that if one is to explain the foreign exchange forward premium behavior using Campbell and Cochrane (1999)’s habit formation model one must specify it in such a way to generate pro-cyclical short ...
Risco cambial e estrutura a termo da taxa de juros: um estudo com vetores autorregressivos para o Brasil 2002-2014
(Universidade Federal de Minas GeraisUFMG, 2015-02-19)
The main objective of the present study was to evaluate the currency risk in the Brazilian term structure of interest rate structure by VAR models, between 2002 and 2014, aiming to identify observable, macroeconomic and ...
Skewness premium with Lévy processes
(Routledge Journals, Taylor & Francis Ltd, 2014-09)
We study the skewness premium (SK) introduced by Bates [J. Finance, 1991, 46(3), 1009-1044] in a general context using Levy processes. Under a symmetry condition, Fajardo and Mordecki [Quant. Finance, 2006, 6(3), 219-227] ...
Nivel de fidelización generado por la cartera de clientes premium del Banco Interbank en la ciudad de Huaraz - Ancash, 2015
(Universidad Privada Antenor Orrego - UPAO, 2017)
La presente investigación, tiene como propósito establecer el nivel de fidelización
generado por la cartera de clientes premiun del banco Interbank en la ciudad de Huaraz. Se
utilizó el diseño de investigación descriptivo, ...
Testing the liquidity preference hypothesis using survey forecasts
(ELSEVIERBrasil, 2015)
We evaluate the liquidity preference hypothesis (LPH) for the term structure of interest rates in a different way. Instead of using bond returns as traditional approaches, we use interest rate surveys with market expectations ...
Can a habit formation model really explain the Forward Premium Anomaly?
(2009-08-07)
Verdelhan (2009) shows that if one is to explain the foreign ex- change forward premium behavior using Campbell and Cochrane (1999) s habit formation model one must specify it in such a way to generate pro-cyclical short ...
Forward premium puzzle in Brasil: risk premium and order flow
(2022)
The uncovered interest parity postulates the relationship between two currencies over time should be given by the nominal interest rate differential. However, for over four decades, the forward exchange rate fails as a ...