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Unbiasedness and risk premiums in the Indian currency futures market
Satish Kumar,Stefan Trück +1 more
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In this article, the authors explored the relationship between currency futures and realised spot rates for the Indian rupee US dollar exchange rate using futures contracts with maturities of one, two and three months, and examined the unbiasedness of futures quotes as a predictor of the future spot exchange rate as well as the nature of timevarying risk premiums in this emerging market.Citations
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Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period
Stefan Trück,Rafał Weron +1 more
TL;DR: In this article, the authors examined the impact of interest rate levels in the Eurozone, the increasing level of surplus allowances and banking, as well as returns, variance, or skewness in the EU-wide CO 2 emissions trading scheme (EU•ETS) spot market.
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Predicting foreign investors’ carry trade activity in the Israeli FX market using a time-varying currency risk premium approach
Ariel Mantzura,Ben Z. Schreiber +1 more
TL;DR: In this article, a carry-to-risk measure based on accumulated time-varying currency risk premiums was proposed to predict foreign investors' carry trade activity in the Israeli FX market during the period 1/2006 -12/2014.
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Does risk premium help uncover the uncovered interest parity failure
TL;DR: In this article, the authors provide a pioneer study to offer a risk premium based solution to the popular uncovered interest parity (UIP) failure using a dataset of 44 advanced and emerging currencies.
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An Empirical Examination of Risk Premiums in the Indian Currency Futures Market
TL;DR: In this article, the authors examined whether risk premiums are significant in explaining the deviations from the uncovered interest rate parity (UIP) condition in an emerging Indian currency futures market and explored the unbiasedness of futures quotes as a predictor of the future spot exchange rate to understand the forward premium anomaly condition.
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Can skewness of the futures‐spot basis predict currency spot returns?
Xue Jiang,Liyan Han,Libo Yin +2 more
TL;DR: In this paper, the relationship between skewness of the futures-spot basis and expected currency spot returns was examined and the empirical results showed that the expected spot returns are negatively correlated with the basis skew.
References
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Distribution of the Estimators for Autoregressive Time Series with a Unit Root
David A. Dickey,Wayne A. Fuller +1 more
TL;DR: In this article, the limit distributions of the estimator of p and of the regression t test are derived under the assumption that p = ± 1, where p is a fixed constant and t is a sequence of independent normal random variables.
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Conditional Skewness in Asset Pricing Tests
TL;DR: In this article, the authors formalize this intuition with an asset pricing model that incorporates conditional skewness and show that the low expected return momentum portfolios have higher skewnness than high expected return portfolios.
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Forward and spot exchange rates
TL;DR: In this paper, the authors find that most of the variation in forward rates is variation in premium, and the premium and expected future spot rate components of forward rates are negatively correlated, and they conclude that the forward market is not efficient or rational.
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The Distribution of Realized Exchange Rate Volatility
TL;DR: In this article, the authors construct model-free estimates of daily exchange rate volatility and correlation that cover an entire decade using high-frequency data on deutschemark and yen returns against the dollar.
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The forward discount anomaly and the risk premium: A survey of recent evidence
TL;DR: A survey of advances in this area since the publication of Hodrick's (1987) survey is presented in this article, with a focus on the relationship between uncovered interest parity and real interest parity.