An Online Appendix to: 'Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences'
13 Pages Posted: 4 Aug 2015
Date Written: July 23, 2015
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: Suggested Citation