From CIP-deviations to a market for risk premia: A dynamic investigation of cross-currency basis swaps

Ioannis Chatziantoniou1, David Gabauer2,3, Alexis Stenfors1
1Economics and Finance Subject Group, University of Portsmouth, Portsmouth Business School, Portland Street, Portsmouth PO1 3DE, United Kingdom
2Data Analysis Systems, Software Competence Center Hagenberg, Softwarepark 21, 4232 Hagenberg, Austria
3Institute of Applied Statistics, Johannes Kepler University, Altenbergerstraße 69, 4040 Linz, Austria

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