Show simple item record Baillie, RT Bollerslev, T 2010-03-09T15:34:47Z 1990-01-01
dc.identifier.citation Journal of International Money and Finance, 1990, 9 (3), pp. 309 - 324
dc.identifier.issn 0261-5606
dc.description.abstract Assuming that daily spot exchange rates follow a martingale process, we derive the implied time series process for the vector of 30-day forward rate forecast errors from using weekly data. The conditional second moment matrix of this vector is modelled as a multivariate generalized ARCH process. The estimated model is used to test the hypothesis that the risk premium is a linear function of the conditional variances and covariances as suggested by the standard asset pricing theory literature. Little supportt is found for this theory; instead lagged changes in the forward rate appear to be correlated with the 'risk premium.'. © 1990.
dc.format.extent 309 - 324
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.relation.ispartof Journal of International Money and Finance
dc.relation.isversionof 10.1016/0261-5606(90)90012-O
dc.title A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets
dc.type Journal Article
dc.department Economics
pubs.issue 3
pubs.organisational-group /Duke
pubs.organisational-group /Duke/Trinity College of Arts & Sciences
pubs.organisational-group /Duke/Trinity College of Arts & Sciences/Economics
pubs.publication-status Published
pubs.volume 9

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