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
Time and foreign exchange markets
โ Scribed by Luca Berardi; Maurizio Serva
- Publisher
- Elsevier Science
- Year
- 2005
- Tongue
- English
- Weight
- 209 KB
- Volume
- 353
- Category
- Article
- ISSN
- 0378-4371
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