Cifarelli, Giulio; Paladino, Giovanna - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2009
techniques based on extrapolative expectations – such as feedback trading – leads to departures of prices from their fundamental … exchange rate. The feedback trading mechanism is combined with an ICAPM and provides a model which is then estimated in a CCC … GARCH-M framework, both the risk premium and the feedback trading components of the conditional means being nonlinear …