Asset prices with stochastic volatilities and a UIP puzzle
Eunhee Lee
| Year of publication: |
2019
|
|---|---|
| Authors: | Lee, Eunhee |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 64.2019, p. 41-61
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| Subject: | Consumption based asset pricing model | Macroeconomic uncertainty | Risk premium in currency market | Smooth transition | Stochastic volatility model | Uncovered interest parity puzzle | Risikoprämie | Risk premium | Volatilität | Volatility | Zinsparität | Interest rate parity | CAPM | Theorie | Theory | Schätzung | Estimation | Wechselkurs | Exchange rate | Zinsstruktur | Yield curve | Stochastischer Prozess | Stochastic process | Devisenmarkt | Foreign exchange market | Währungsrisiko | Exchange rate risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2019.05.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012322223