Recent Estimates of the Time-Variation in the Conditional Variance and in the Exchange Risk Premium
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- David W.R. Gruen, 1991. "The Effect of Steady Inflation on Interest Rates and the Real Exchange Rate in a World with Free Capital Flows," RBA Research Discussion Papers rdp9101, Reserve Bank of Australia.
- Engel, Charles, 1996.
"The forward discount anomaly and the risk premium: A survey of recent evidence,"
Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
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Annals of Economics and Finance, Society for AEF, vol. 20(1), pages 37-66, May.
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"The foreign exchange risk premium in a target zone with devaluation risk,"
Journal of International Economics, Elsevier, vol. 33(1-2), pages 21-40, August.
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- Lars E.O. Svensson, 1990. "The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk," NBER Working Papers 3466, National Bureau of Economic Research, Inc.
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"Target zones and interest rate variability,"
Journal of International Economics, Elsevier, vol. 31(1-2), pages 27-54, August.
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- Mr. Lars E. O. Svensson, 1990. "Target Zones and Interest Rate Variability," IMF Working Papers 1990/031, International Monetary Fund.
- Alison Tarditi & Gordon Menzies, 1991. "Monthly Movements in the Australian Dollar and Real Short-term Interest Differentials: An Application of the Kalman Filter," RBA Research Discussion Papers rdp9111, Reserve Bank of Australia.
- Naka, Atsuyuki & Whitney, Gerald, 1995. "The unbiased forward rate hypothesis re-examined," Journal of International Money and Finance, Elsevier, vol. 14(6), pages 857-867, December.
- Bekaert, G.R.J. & Gray, S.F., 1997. "Target zones and exchange rates : An empirical investigation," Other publications TiSEM 401f533c-6e91-49dd-9b04-5, Tilburg University, School of Economics and Management.
- David W.R. Gruen & Marianne C. Gizycki, 1993.
"Explaining Forward Discount Bias: Is it Anchoring?,"
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- Gruen, D.W.R. & Gizycki, M.C., 1993. "Explaining Forward Discount Bias: Is It Anchoring?," Papers 164, Princeton, Woodrow Wilson School - Public and International Affairs.
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- Bekaert, Geert & Gray, Stephen F., 1998.
"Target zones and exchange rates:: An empirical investigation,"
Journal of International Economics, Elsevier, vol. 45(1), pages 1-35, June.
- Geert Bekaert & Stephen F. Gray, 1996. "Target Zones and Exchange Rates: An Empirical Investigation," NBER Working Papers 5445, National Bureau of Economic Research, Inc.
- Bekaert, G.R.J. & Gray, S.F., 1997. "Target zones and exchange rates : An empirical investigation," Discussion Paper 1997-22, Tilburg University, Center for Economic Research.
- Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L, 1991. "es modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annals of Economics and Statistics, GENES, issue 24, pages 1-59.
- Joachim Zietz & Ghassem Homaifar, 1994. "Exchange rate uncertainty and the efficiency of the forward market for foreign exchange," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 130(3), pages 461-475, September.
- Morley, Bruce & Pentecost, Eric J., 1998. "Asset pricing and foreign exchange risk: econometric evidence for the G-7," Journal of International Money and Finance, Elsevier, vol. 17(2), pages 317-329, April.
- Fischer Black, 1989. "Equilibrium Exchange Rate Hedging," NBER Working Papers 2947, National Bureau of Economic Research, Inc.
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- David W. R. Gruen & Gordon D. Menzies, 1995. "Forward Discount Bias: Is it Near‐Rationality in the Foreign Exchange Market?," The Economic Record, The Economic Society of Australia, vol. 71(2), pages 157-166, June.
- K. Giannopoulos, 1995. "Estimating the time Varying Components of international stock markets' risk," The European Journal of Finance, Taylor & Francis Journals, vol. 1(2), pages 129-164.
- Vincent Bouvatier, 2007. "Are International Interest Rate Differentials Driven by the Risk Premium? The Case of Asian Countries," Economics Bulletin, AccessEcon, vol. 5(6), pages 1-14.
- David W.R. Gruen & Gordon D. Menzies, 1991. "The Failure of Uncovered Interest Parity: Is it Near-rationality in the Foreign Exchange Market?," RBA Research Discussion Papers rdp9103, Reserve Bank of Australia.
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Keywords
exchange risk premium; conditional variance; ARCH; options; Social and Behavioral Sciences; Business;All these keywords.
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