The Determinants of Risk Premia in Forward Foreign Exchange (FX) Markets
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- Zhiguang Wang & Prasad Bidarkota, 2012. "Risk premia in forward foreign exchange rates: a comparison of signal extraction and regression methods," Empirical Economics, Springer, vol. 42(1), pages 21-51, February.
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Other publications TiSEM
f9309525-e1b8-46ad-8760-9, Tilburg University, School of Economics and Management.
- Nijman, T.E. & Palm, F.C. & Wolff, C.C.P., 1993. "Premia in forward foreign exchange as unobserved components," Other publications TiSEM 23782b7b-2146-4381-8cf9-4, Tilburg University, School of Economics and Management.
- Nijman, T.E. & Palm, F.C. & Wolff, C.C.P., 1991. "Premia in forward foreign exchange as unobserved components," Discussion Paper 1991-12, Tilburg University, Center for Economic Research.
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Keywords
ARMA; ARCH-M; liquidity; forward risk premia; multimarket hypothesis; single market hypothesis;All these keywords.
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