A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets
نویسندگان
چکیده
منابع مشابه
A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets
Assuming that daily spot exchange rates follow a martingale process. we derive the implied time series process for the vector of 30-day forward rate forecast errors from using weekly data. The conditional second moment matrix of this vector is modeled as a multivariate generalized ARCH process. The estimated model is used to test the hypothesis that the risk premium is a linear function of the ...
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ژورنال
عنوان ژورنال: Journal of International Money and Finance
سال: 1990
ISSN: 0261-5606
DOI: 10.1016/0261-5606(90)90012-o