Macroeconomic Sources of FOREX Risk
Year of publication: |
2002-01
|
---|---|
Authors: | Smith, Peter N ; Wickens, Michael R. |
Institutions: | C.E.P.R. Discussion Papers |
Subject: | FOREX | GARCH | market efficiency | risk premium | stochastic discount factors |
-
Asset Pricing with Observable Stochastic Discount Factors.
Smith, Peter N,
-
How to compare market efficiency? : the Sharpe ratio based on the ARMA-GARCH forecast
Liu, Lin, (2020)
-
Market Efficiency and the Euro: The case of the Athens Stock Exchange
Panagiotidis, Theodore, (2005)
- More ...
-
An Empirical Investigation into the Causes of the Failure of the Monetary Model of the Exchange Rate
Smith, Peter N, (1984)
-
The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks
Smith, Peter N, (2009)
-
A DSGE model of banks and financial intermediation with default risk
Wickens, Michael R., (2011)
- More ...