Measuring the risk premium in uncovered interest parity using the component GARCH-M model
Dandan Li; Antanu Ghoshray; Bruce Morley
| Year of publication: |
2012
|
|---|---|
| Authors: | Liu, Dandan ; Ghoshray, Antanu ; Morley, Bruce |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 24.2012, p. 167-176
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| Subject: | Risk premium | Uncovered interest parity | Component GARCH-in-mean | Risikoprämie | Zinsparität | Interest rate parity | Theorie | Theory | ARCH-Modell | ARCH model | Währungsderivat | Currency derivative |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009690211