and conditional heteroskedasticity of exchange rates and on the behavior of foreign exchange risk premiums. The model …

We investigate possible presence of time-varying risk premia in forward pound, yen,and Euro monthly exchange rates … the existence of time-varying risk premium under rational expectations. Our signal plus noise model reveals a time …-varying risk premium component in yen and Euro. The same model provides evidence for the presence of risk premium in pound over a …

We investigate time varying risk premia in forward dollar/pound monthly exchange rates over the last two decades. We … significant risk premium component whereas our regression model does. We attribute the discrepancy in the results from the two … methods to the low power of the signal plus noise model in discriminating between a time varying risk premium component and a …