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A nonlinear analysis of forward premium and volatility
Hsu, Chiente (contributor); Kugler, Peter (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 1 (1996) 4, pp. 187-201
Persistent link: https://www.econbiz.de/10001769651
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A Nonlinear Analysis of Forward Premium and Volatility
Hsu, Chiente; Kugler, Peter - In: Studies in Nonlinear Dynamics & Econometrics 1 (1997) 4
In this paper we investigate the relationship between risk premium and a time-varying conditional variance of spot rate using weekly Swiss franc/US dollar exchange-rate data. First, we apply an EGARCH-in-mean framework to test the unbiasedness hypothesis of the forward rate with a volatility...
Persistent link: https://www.econbiz.de/10014620794
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The Revival of the Expectations Hypothesis of the US Term Structure of Interest Rates
Hsu, Chiente; Kugler, Peter - In: Economics Letters 55 (1997) 1, pp. 115-120
Persistent link: https://www.econbiz.de/10005297176
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A nonlinear analysis of forward premium and volatility
Hsu, Chiente; Kugler, Peter - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 1 (1996) 4, pp. 187-201
Persistent link: https://www.econbiz.de/10009949706
Cover Image
A Nonlinear Analysis of Forward Premium and Volatility
Hsu, Chiente; Kugler, Peter - In: Studies in Nonlinear Dynamics & Econometrics 1 (2007) 4, pp. 187-201
In this paper we investigate the relationship between risk premium and a time-varying conditional variance of spot rate using weekly Swiss franc/US dollar exchange-rate data. First, we apply an EGARCH-in-mean framework to test the unbiasedness hypothesis of the forward rate with a volatility...
Persistent link: https://www.econbiz.de/10004966160
Cover Image
A Nonlinear Analysis of Forward Premium and Volatility
Hsu, Chiente; Kugler, Peter - In: Studies in Nonlinear Dynamics & Econometrics 1 (1997) 4, pp. 187-201
In this paper we investigate the relationship between risk premium and a time-varying conditional variance of spot rate using weekly Swiss franc/US dollar exchange-rate data. First, we apply an EGARCH-in-mean framework to test the unbiasedness hypothesis of the forward rate with a volatility...
Persistent link: https://www.econbiz.de/10005584873