Risk premia in forward foreign exchange rates: a comparison of signal extraction and regression methods Article

Wang, Zhiguang, Bidarkota, Prasad V. (2012). Risk premia in forward foreign exchange rates: a comparison of signal extraction and regression methods . EMPIRICAL ECONOMICS, 42(1), 21-51. 10.1007/s00181-010-0427-y

keywords

  • Business & Economics
  • CURRENCY
  • Economics
  • Forward foreign exchange rates
  • MARKET
  • Mathematical Methods In Social Sciences
  • NONSTATIONARY
  • Non-normality
  • SPOT RATES
  • Signal extraction
  • Social Sciences
  • Social Sciences, Mathematical Methods
  • Spot foreign exchange rates
  • TIME-SERIES
  • Time-varying risk premium
  • Volatility persistence

Digital Object Identifier (DOI)

publisher

  • PHYSICA-VERLAG GMBH & CO

start page

  • 21

end page

  • 51

volume

  • 42

issue

  • 1