Rethinking Deviations From Uncovered Interest Parity: the Role of Covariance Risk and Noise

• 1 November 1998
• journal article
• Published by Oxford University Press (OUP) in The Economic Journal
• Vol. 108  (451) , 1686-1706
• https://doi.org/10.1111/1468-0297.00367

Abstract

Keywords

• EMPIRICAL RESEARCH
• ASSET PRICING MODEL
• RISK PREMIA
• UNCOVERED INTEREST PARITY

All Related Versions

• Version 1, RePEc (Unconfirmed version)