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On time varying risk premia in the foreign exchange market: An econometric analysis

✍ Scribed by Nelson C. Mark


Book ID
113311758
Publisher
Elsevier Science
Year
1985
Tongue
English
Weight
979 KB
Volume
16
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