Can signal extraction help predict risk premia in foreign exchange rates

The present study investigates possible existence of time varying risk premia in Brazilian real, Chinese yuan; Cypriot pound, Danish krone, Eurozone euro, French franc, Indian rupee, Japanese yen, Pakistani rupee, and British pound forward foreign exchange rates against US dollar. Exchange rates in these series are modeled using non-Gaussian state space models that encompass non-normality and GARCH-like affects.

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Year of publication:	2013
Authors:	Kiani, Khurshid M.
Published in:	Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 33.2013, C, p. 926-939
Publisher:	Elsevier
Subject:	Forward foreign exchange rates \| Non-normality \| Risk premium \| Spot foreign exchange rates \| State space model \| Volatility persistence

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Type of publication:	Article
Classification:	C5 - Econometric Modeling ; F31 - Foreign Exchange ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

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