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Nonlinear dynamics of spot and forward exchange rates : an application of a seminonparametric estimation procedure

Hsu, Chiente - 1994

Persistent link: https://www.econbiz.de/10000902659

The revival of the expectations hypothesis of the US term structure of interest rates

Hsu, Chiente; Kugler, Peter - 1996

Persistent link: https://www.econbiz.de/10000933041

Term premium and volatility : a nonlinear analysis of the Swiss interest rates

Hsu, Chiente - In: Swiss journal of economics and statistics 132 (1996) 2, pp. 153-176

Persistent link: https://www.econbiz.de/10001201657

A nonlinear analysis of forward premium and volatility

Hsu, Chiente (contributor); Kugler, Peter (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 1 (1996) 4, pp. 187-201

Persistent link: https://www.econbiz.de/10001769651

The revival of the expectations hypothesis of the US term structure of interest rates

Hsu, Chiente - In: Economics letters 55 (1997) 1, pp. 115-120

Persistent link: https://www.econbiz.de/10001225271

The revival of the expectations hypothesis of the US term structure of interest rates

Hsu, Chiente; Kugler, Peter - 1996

Persistent link: https://www.econbiz.de/10000589029

A Nonlinear Analysis of Forward Premium and Volatility

Hsu, Chiente; Kugler, Peter - In: Studies in Nonlinear Dynamics & Econometrics 1 (1997) 4

In this paper we investigate the relationship between risk premium and a time-varying conditional variance of spot rate using weekly Swiss franc/US dollar exchange-rate data. First, we apply an EGARCH-in-mean framework to test the unbiasedness hypothesis of the forward rate with a volatility...

Persistent link: https://www.econbiz.de/10014620794

A Nonlinear Analysis of Forward Premium and Volatility

Hsu, Chiente; Kugler, Peter - In: Studies in Nonlinear Dynamics & Econometrics 1 (2007) 4, pp. 187-201

Persistent link: https://www.econbiz.de/10004966160

Term Premium and Volatility: A Nonlinear Analysis of the Swiss Interest Rates

Hsu, Chiente; Kugler, Peter - In: Swiss Journal of Economics and Statistics (SJES) 132 (1996) II, pp. 153-176

In this paper we investigate the relationship between the term premium and the volatility of the short interest rate by applying a single equation EGARCH-in-mean model as well as bivariate seminonparametric nonlinear impulse response analysis to weekly Swiss data over the period from 1978 to...

Persistent link: https://www.econbiz.de/10005580889

The Revival of the Expectations Hypothesis of the US Term Structure of Interest Rates

Hsu, Chiente; Kugler, Peter - In: Economics Letters 55 (1997) 1, pp. 115-120

Persistent link: https://www.econbiz.de/10005297176