Uncovered Interest Rate Parity Over the Past Two Centuries

By James R. Lothian, Liuren Wu. 2011

175 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ffbd7b40bd0eafeccddbd803804b2ec3095df777

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. A. Verdelhan
2. Lucio Sarno
3. Nikolai L. Roussanov

In Finance

1. A. Verdelhan
2. Lucio Sarno

Citations in the corpus

• The Share of Systematic Variation in Bilateral Exchange Rates (2018, background): “Stochastic Discount Factors Building on Cox, Ingersoll and Ross (1985) and Backus, Foresi and Telmer (2001), Lustig, Roussanov, and Verdelhan (2011, 2013) start from the law of motion of the log SDF mi, which follows a two-factor conditionally-Gaussian process: −mit+1 = α + χzit + √ γzitu i t+1 + χz”