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Can a time-varying risk premium explain excess returns in the forward market for foreign exchange?

  • Published:1990-02 Issue:1-2 Volume:28 Page:47-70
  • ISSN:0022-1996
  • Container-title:Journal of International Economics
  • language:en
  • Short-container-title:Journal of International Economics

Author:

Kaminsky Graciela,Peruga Rodrigo

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference40 articles.

1. Multivariate simultaneous generalized ARCH;Baba,1987

2. A multivariate generalized approach to modeling risk premia in forward exchange rate markets;Baillie,1987

3. Estimation and inference in nonlinear structural models;Berndt;Annals of Economic and Social Measurement,1974

4. Generalized autoregressive conditional heteroscedasticity;Bollerslev;Journal of Econometrics,1986

5. A capital asset pricing model with time-varying covariances;Bollerslev;Journal of Political Economy,1988

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1. Time-Varying Betas in Foreign Exchange Returns: An IPCA Approach;SSRN Electronic Journal;2024

2. A new test for market efficiency and uncovered interest parity;Journal of International Money and Finance;2023-02

3. Does risk premium help uncover the uncovered interest parity failure?;Journal of International Financial Markets, Institutions and Money;2019-11

4. Conditional co-skewness and safe-haven currencies: A regime switching approach;Journal of Empirical Finance;2018-09

5. An Empirical Examination of Risk Premiums in the Indian Currency Futures Market;Asia-Pacific Journal of Risk and Insurance;2017-11-21
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