Guo, Hui (contributor); Neely, Christopher J. (contributor) - 2004 - [Elektronische Ressource]
bills—a proxy for the
risk-free rate—for the U.K., Germany, Japan, and Switzerland. We construct monthly stock
market … variance with daily CRSP stock market returns for the U.S. and daily MSCI stock index
returns for the U.K., Germany, Japan …
**,,,,
US t i t t t
ER a b C X i GBP DEM JPY CHFσε
−−
=+ + + = , (2)
15
We …