Cheung, Yin-Wong; Wong, Clement Yuk-Pang - In: Multinational Finance Journal 1 (1997) 1, pp. 1-22
This article evaluates the performance of filter rules on four Asian exchange rates against the U.S. dollar. Risk premiums derived from the choice under uncertainty model and the GARCH specification are used to construct the risk–adjusted return series. Results show that risk premiums have...