Currency returns, market regimes and behavioral biases
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Publication:470660
DOI10.1007/s10436-012-0220-3zbMath1298.91174MaRDI QIDQ470660
Yonggan Zhao, William T. Ziemba, Leonard C. MacLean
Publication date: 12 November 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-012-0220-3
regime switching; forward premium puzzle; behavioral bias; currency market portfolio; interest rate parity