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Comment on:: Time varying liquidity in foreign exchange

✍ Scribed by Robert J Hodrick


Book ID
114220638
Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
59 KB
Volume
49
Category
Article
ISSN
0304-3932

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In this paper we analyse the consequences of considering risk-augmented specifications of the relationship between spot and forward rates. Previous parametric specifications such as the GARCH-M provided disappointing results possibly due to the high degree of persistence of the estimated process for