Uncertainty and risk premium puzzle
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Finance
Link
http://link.springer.com/content/pdf/10.1007/s12197-010-9170-7.pdf
Reference32 articles.
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2. Backus D, Foresi S, Telmer C (1994) The forward premium anomaly: three examples in search of a solution. New York University, Stern School of Business, Working Papers Series FD-94-6
3. Baillie R, Bollerslev T (1990) A multivariate generalized ARCH approach to modeling risk Premia in forward foreign exchange rate markets. J Int Money Finance 9:309–324
4. Bekaert G (1994) Exchange risk volatility and deviations from unbiasedness in a cash-in-advance model. J Int Econ 36:29–52
5. Bekaert G (1996) The time variation of risk and return in foreign exchange markets: a general equilibrium approach. Rev Financ Stud 9:427–470
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1. Does data frequency matter for the impact of forward premium on spot exchange rate?;International Review of Financial Analysis;2015-05
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