risk premium and the conditional exchange rate variance. This note surveys recent empirical work that allows for the … conditional variance itself, and therefore the risk premium, to vary over time. In particular, it examines the implications of … time, that the exchange risk premium had to be small in magnitude and variability …

Volatility tests are an alternative to regression tests for evaluating the joint null hypothesis of market efficiency … and risk neutrality. Acomparison of the power of the two kinds of tests depends on what the alternative hypothesis is … taken to be. By considering tests based on conditional volatility bounds, we show that if the alternative is that one could …

Volatility tests are an alternative to regression tests for evaluating the joint null hypothesis of market efficiency … and risk neutrality. Acomparison of the power of the two kinds of tests depends on what the alternative hypothesis is … taken to be. By considering tests based on conditional volatility bounds, we show that if the alternative is that one could …