Forecasting RMB exchange rate volatility: do time-varying higher moments and time-varying risk aversion help?
Author:
Affiliation:
1. School of Finance, Anhui University of Finance and Economics, Bengbu, China
2. School of Economics, Anhui University of Finance and Economics, Bengbu, China
Funder
National Natural Science Foundation of China
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/13504851.2022.2146648
Reference17 articles.
1. Bams, D., I. Honarvar, and T. Lehnert. 2017. “Risk Aversion, Sentiment and the Cross-Section of Stock Returns.” Working Paper. Maastricht University.
2. Bad environments, good environments: A non-Gaussian asymmetric volatility model
3. The Time Variation in Risk Appetite and Uncertainty
4. Uncovered Interest-rate Parity and Risk Premium: Evidence from EUR/RSD Exchange Rate
5. Anticipating Long-Term Stock Market Volatility
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