Can signal extraction help predict risk premia in foreign exchange rates
Year of publication: |
2013
|
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Authors: | Kiani, Khurshid M. |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 33.2013, p. 926-939
|
Subject: | Forward foreign exchange rates | Non-normality | Risk premium | Spot foreign exchange rates | State space model | Volatility persistence | Risikoprämie | Volatilität | Volatility | Wechselkurs | Exchange rate | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Währungsderivat | Currency derivative | Zustandsraummodell | Schätzung | Estimation | Währungsrisiko | Exchange rate risk |
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