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~institution:"Department of Economics, Florida International University"
~institution:"Department of Economics, Stanford University"
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GARCH
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OLG economy
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correlation among beliefs
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endogenous uncertainty
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equity risk premium
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foreign exchange rates
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forward discount bias
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forward foreign exchange rates
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market volatility
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rational beliefs
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rational expectation equilibrium (REE)
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riskless rate
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Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
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Risk Premia in Forward Foreign Exchange Markets: A Comparison of Signal Extraction and Regression Methods
Bidarkota, Prasad V.
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Department of Economics, Florida International University
-
2005
We investigate time varying risk premia in forward dollar/pound monthly exchange rates over the last two decades. We study this issue using a signal plus noise model and separately using regression techniques. Our models account for time varying volatility and non-normalities in the observed...
Persistent link: https://www.econbiz.de/10005417226
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Endogenous Uncertainty: A Unified View of Market Volatility
Kurz, Mordecai
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Department of Economics, Stanford University
, equity risk premium, riskless rate, GARCH, forward discount bias,
foreign
exchange
rates
, OLG economy, correlation among …
Persistent link: https://www.econbiz.de/10005742334
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