Derivation of theoretical Ecu yields

Article Abstract:

The European currency unit as a basket currency is examined. This definition of the currency indicates that it is sufficient to know the relation between the Ecu and the component currency to derive the interest rates. Thus, an change inthe component currency's value will result in a corresponding change in Ecu interest rates. Freezing the Ecu composition will then tend to lower long-dated ECu interest rates.

Euro (Currency)

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A note on weekday, intraday, and overnight patterns in the interbank foreign exchange and listed currency options markets

Article Abstract:

The returns patterns for close-to-close, close-to-open and intraday long positions in spot currency and currency put options were analyzed. The results showed that from Friday close to Monday open, spot market returns were substantially higher under the trading-day hypotheses. In addition, market returns were lower during Tuesday and Friday afternoons.

Options (Finance)

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What causes mean reversion in corporate bond index spreads? The impact of survival

Article Abstract:

The impact of survival of corporate bonds on credit spread behavior is examined.

United States, Interest Rates, Corporate Bonds

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