Chiang, Thomas; Yang, Sheng-Yung - In: Review of Quantitative Finance and Accounting 24 (2005) 3, pp. 295-312
This paper constructs a multivariate model in relating multi-asset excess returns to their conditional variances. Applying weekly data to investigate the foreign-exchange risk premium, the evidence from a multivariate GARCH model shows that the foreign-exchange excess returns are significantly...