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Article
Optimal carry trade portfolio choice under regime shifts
This paper studies optimal currency allocation of the carry trade in foreign exchange (FX). A number of empirical studies have documented a phenomenon referred to as the ‘forward premium puzzle’, which states ...
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Article
Foreign exchange option pricing in the currency cycle with jump risks
This paper examines regime switching behavior and the nature of jumps in foreign exchange rates, as well as their implications in currency option pricing. Considering the characteristics of long swing as well ...
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Article
Consistent estimation of technical and allocative efficiencies for a semiparametric stochastic cost frontier with shadow input prices
Conventional parametric stochastic cost frontier models are likely to suffer from biased inferences due to misspecification and the ignorance of allocative efficiency (AE). To fill up the gap in the literature...