The Risk Premium, Exchange Rate Expectations, and the Forward Exchange Rate: Estimates for the Yen–Dollar Rate
✍ Scribed by Stuart Landon; Constance E. Smith
- Book ID
- 108534675
- Publisher
- John Wiley and Sons
- Year
- 2003
- Tongue
- English
- Weight
- 249 KB
- Volume
- 11
- Category
- Article
- ISSN
- 0965-7576
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This paper examines the conditional heteroscedasticity of the yen±dollar exchange rate. A model is constructed by extending the asymmetric power autoregressive conditional heteroscedasticity model to a process that is fractionally integrated. It is found that, unlike the equity markets, the apprecia
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