Now showing items 1-3 of 3

    • A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets 

      Baillie, RT; Bollerslev, T (Journal of International Money and Finance, 1990-01-01)
      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 ...
    • The forward premium anomaly is not as bad as you think 

      Baillie, RT; Bollerslev, T (Journal of International Money and Finance, 2000-08-01)
      The forward premium anomaly refers to the widespread empirical finding that the slope coefficient in the regression of the change in the logarithm of the spot exchange rate on the forward premium is invariably less than ...
    • The Long-Memory of the Forward Premium 

      Baillie, RT; Bollerslev, T (1994)
      The estimation of ARFIMA models by approximate maximum likelihood estimation methods, reveals the forward premia for the currencies of Canada, Germany and the UK vis-à-vis the US dollar, to be well described by a fractionally ...