Time variation in the standard forward premium regression : some new models and tests
Year of publication: |
2014
|
---|---|
Authors: | Baillie, Richard ; Cho, Dooyeon |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 29.2014, p. 52-63
|
Subject: | Forward premium anomaly | Time-varying parameter regression | Regressionsanalyse | Regression analysis | Risikoprämie | Risk premium | Schätzung | Estimation | Währungsderivat | Currency derivative | Schätztheorie | Estimation theory |
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