An Online Appendix to: 'Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences'

13 Pages Posted: 4 Aug 2015

See all articles by Matthew Ames

Matthew Ames

The Institute of Statistical Mathematics

Guillaume Bagnarosa

ESC Rennes School of Business

Gareth Peters

Department of Actuarial Mathematics and Statistics, Heriot-Watt University; University College London - Department of Statistical Science; University of Oxford - Oxford-Man Institute of Quantitative Finance; London School of Economics & Political Science (LSE) - Systemic Risk Centre; University of New South Wales (UNSW) - Faculty of Science

Date Written: July 23, 2015

Abstract

This online appendix to "Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences" includes the copula density function for the Clayton-Frank-Gumbel mixture copula and the details for the likelihood based estimation of the multivariate currency basket log returns. Currency carry trade high and low interest rate baskets over time are shown. Further results for the copula parameter fits and associated dependence measures are then analysed. A description of the method used to calculate the confidence intervals for the covariance regression is given. Finally, the method used to interpolate the one month forward price curve is explained.

The paper "Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences" to which these Appendices apply is available at the following URL: http://ssrn.com/abstract=2638163

Keywords: Forward Premium Puzzle, Speculative Trading Volumes, Multivariate Tail Dependence, Mixture Copula Models, Currency Carry Trade, Covariance Regressions

JEL Classification: G12, G14, C58, C32, E5, F31

Suggested Citation

Ames, Matthew and Bagnarosa, Guillaume and Peters, Gareth, An Online Appendix to: 'Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences' (July 23, 2015). Available at SSRN: https://ssrn.com/abstract=2638103 or http://dx.doi.org/10.2139/ssrn.2638103

Matthew Ames (Contact Author)

The Institute of Statistical Mathematics ( email )

Tokyo
Japan

Guillaume Bagnarosa

ESC Rennes School of Business ( email )

2, RUE ROBERT D'ARBRISSEL
Rennes, 35065
France

Gareth Peters

Department of Actuarial Mathematics and Statistics, Heriot-Watt University ( email )

Edinburgh Campus
Edinburgh, EH14 4AS
United Kingdom

HOME PAGE: http://garethpeters78.wixsite.com/garethwpeters

University College London - Department of Statistical Science ( email )

1-19 Torrington Place
London, WC1 7HB
United Kingdom

University of Oxford - Oxford-Man Institute of Quantitative Finance ( email )

University of Oxford Eagle House
Walton Well Road
Oxford, OX2 6ED
United Kingdom

London School of Economics & Political Science (LSE) - Systemic Risk Centre ( email )

Houghton St
London
United Kingdom

University of New South Wales (UNSW) - Faculty of Science ( email )

Australia

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