A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets
| dc.contributor.author | Baillie, RT | |
| dc.contributor.author | Bollerslev, T | |
| dc.date.accessioned | 2010-03-09T15:34:47Z | |
| dc.date.issued | 1990-01-01 | |
| 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.mimetype | application/pdf | |
| dc.identifier.issn | 0261-5606 | |
| dc.identifier.uri | ||
| dc.language.iso | en_US | |
| dc.publisher | Elsevier BV | |
| 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 | |
| pubs.begin-page | 309 | |
| pubs.end-page | 324 | |
| pubs.issue | 3 | |
| pubs.organisational-group | Duke | |
| pubs.organisational-group | Economics | |
| pubs.organisational-group | Trinity College of Arts & Sciences | |
| pubs.publication-status | Published | |
| pubs.volume | 9 |
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