Poghosyan, Tigran; Kocenda, Evzen - William Davidson Institute, University of Michigan - 2007
stochastic discount factor (SDF) approach and a multivariate GARCH-in-mean model. We find that in post-transition economies real …
the observable macroeconomic factors is modeled using the stochastic discount factor (SDF)
approach and a multivariate … variability of the risk
premium.
KEYWORDS: foreign exchange risk, time-varying risk premium, stochastic discount factor …