Properties of foreign exchange risk premiums

Properties of foreign exchange risk premiums
Author: Lucio Sarno
Publisher:
Total Pages: 85
Release: 2011
Genre:
ISBN:


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Properties of foreign exchange risk premiums
Language: en
Pages: 85
Authors: Lucio Sarno
Categories:
Type: BOOK - Published: 2011 - Publisher:

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Properties of Foreign Exchange Risk Premiums
Language: en
Pages: 86
Authors: Lucio Sarno
Categories:
Type: BOOK - Published: 2016 - Publisher:

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We study the properties of foreign exchange risk premiums that can explain the forward bias puzzle, defined as the tendency of high-interest rate currencies to
Foreign Exchange Risk Premium
Language: en
Pages: 40
Authors: Mr.Lorenzo Giorgianni
Categories: Business & Economics
Type: BOOK - Published: 1997-04-01 - Publisher: International Monetary Fund

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This paper challenges the conventional view that foreign exchange risk premiums are small, not volatile, and unrelated to macroeconomic variables. For the Itali
On Time-series Properties of Time-varying Risk Premium in the Yen/dollar Exchange Market
Language: en
Pages: 52
Authors: Fabio Canova
Categories: Foreign exchange
Type: BOOK - Published: 1988 - Publisher:

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The purpose of this paper is to characterize the changes in risk premium in the 1980s. A five-variable vector autoregressive model (VAR) is constructed to calcu
Three Essays on the Empirical Analyses of Foreign Exchange Risk Premiums
Language: en
Pages: 428
Authors: Sheng-Yung Yang
Categories: Financial futures
Type: BOOK - Published: 2000 - Publisher:

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