Modeling risk premia in forward foreign exchange rates as unobserved components : the model identification problem
Aziz Chouikh & Abdelwahed Trabelsi
| Year of publication: |
2014
|
|---|---|
| Authors: | Chouikh, Aziz ; Trabelsi, Abdelwahed |
| Published in: |
International journal of financial research. - Toronto : Sciedu Press, ISSN 1923-4023, ZDB-ID 2611282-6. - Vol. 5.2014, 3, p. 119-135
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| Subject: | autoregressive moving average | forward risk premium | signal extraction | noise | forward exchange rate | Risikoprämie | Risk premium | Währungsderivat | Currency derivative | Zeitreihenanalyse | Time series analysis | Wechselkurs | Exchange rate | ARMA-Modell | ARMA model | Schätztheorie | Estimation theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010458557