Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions
Richard T. Baillie, Kun Ho Kim
| Year of publication: |
December 2015
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|---|---|
| Authors: | Baillie, Richard ; Kim, Kun Ho |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 34.2015, p. 99-111
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| Subject: | Forward premium anomaly | Local Deviation from Uncovered Interest Parity | Kernel smoothing | Uniform inference | Macroeconomic fundamentals | Frequentist model averaging | Theorie | Theory | Zinsparität | Interest rate parity | Regressionsanalyse | Regression analysis | Währungsderivat | Currency derivative | Schätzung | Estimation | Risikoprämie | Risk premium | Nichtparametrisches Verfahren | Nonparametric statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2015.08.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011557073