| bibtype |
J -
Journal Article
|
| ARLID |
0410798 |
| utime |
20240103182240.0 |
| mtime |
20060210235959.9 |
| title
(primary) (eng) |
The uncovered parity properties of the Czech Koruna |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0290424 |
| ISSN |
1210-0455 |
| title
|
Prague Economic Papers |
| volume_id |
11 |
| volume |
1 (2002) |
| page_num |
17-37 |
| publisher |
| name |
Vysoká škola ekonomická v Praze |
|
|
| keyword |
uncovered parity |
| keyword |
asset prices |
| keyword |
international consumption-based capital asset pricing model |
| author
(primary) |
| ARLID |
cav_un_auth*0101079 |
| name1 |
Derviz |
| name2 |
Alexis |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| COSATI |
05D |
| cas_special |
| project |
| project_id |
KSK1019101 |
| agency |
GA AV ČR |
| ARLID |
cav_un_auth*0000219 |
|
| research |
CEZ:AV0Z1075907 |
| abstract
(eng) |
The paper studies the compliance of the CZK - EUR exchange rate with the uncovered parity of returns on assets denominated in the two named currencies. A comparison with the same property for the euro-dollar rate is made. An uncovered total return parity (UTRP) formula is derived from the equilibrium in a portfolio optimication model with liquidity constrains. |
| RIV |
AH |
| department |
E |
| permalink |
http://hdl.handle.net/11104/0130885 |
| ID_orig |
UTIA-B 20020012 |
| arlyear |
2002 |
| mrcbU63 |
cav_un_epca*0290424 Prague Economic Papers 1210-0455 2336-730X Roč. 11 č. 1 2002 17 37 Vysoká škola ekonomická v Praze |
|