Cappiello, Lorenzo; Panigirtzoglou, Nikolaos - 2005
The goal of this study is to measure market prices of risk and the associated foreign exchange risk premia extending …, allow to compute foreign exchange risk premia. Market prices of risk are time-varying and surge during financial turmoil …. Foreign exchange risk premia are also time-varying and they exhibit most variation from the early '70s onwards, when the …