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The long memory of the forward premium during the 1920s’ float : evidence from the European foreign exchange market

Choudhry, Taufiq - In: The European journal of finance 19 (2013) 9/10, pp. 964-977

Persistent link: https://www.econbiz.de/10010245643

Modeling risk premia in forward foreign exchange rates as unobserved components : the model identification problem

Chouikh, Aziz; Trabelsi, Abdelwahed - In: International journal of financial research 5 (2014) 3, pp. 119-135

Persistent link: https://www.econbiz.de/10010458557

Expectation formation in the foreign exchange market : a time-varying heterogeneity approach using survey data

Prat, Georges; Uctum, Remzi - In: Applied economics 47 (2015) 34/36, pp. 3673-3695

Persistent link: https://www.econbiz.de/10011293469

On time-series properties of time-varying risk premium in the yen, dollar exchange market

Canova, Fabio; Itō, Takatoshi - 1988

Persistent link: https://www.econbiz.de/10000757860

On Time-Series Properties of Time-Varying Risk Premium in the Yen/Dollar Exchange Market

Canova, Fabio - 1988

The purpose of this paper is to characterize the changes in risk premium in the 1980s. A five-variable vector autoregressive model (VAR) is constructed to calculate a risk premium series in the foreign exchange market. The risk premium series is volatile and time-varying. The hypothesis of no...

Persistent link: https://www.econbiz.de/10012476386