Hsu, Chiente; Kugler, Peter - In: Studies in Nonlinear Dynamics & Econometrics 1 (2007) 4, pp. 187-201
hypothesis of the forward rate with a volatility dependent risk premium. The corresponding estimates point to no significant … using weekly Swiss franc/US dollar exchange-rate data. First, we apply an EGARCH-in-mean framework to test the unbiasedness …