DOES CONDITIONAL COVARIANCE OR CONDITIONAL VARIANCE EXPLAIN TIME-VARYING RISK PREMIA IN FOREIGN-EXCHANGE RETURNS

被引：4

|

作者：

LEE, TK

机构：

来源：

ECONOMICS LETTERS | 1988年 / 27卷 / 04期

关键词：

D O I：

10.1016/0165-1765(88)90165-6

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

收藏

页码：371 / 373

页数：3

相关论文

共 50 条

[1] CONDITIONAL VARIANCE AND THE RISK PREMIUM IN THE FOREIGN-EXCHANGE MARKET
DOMOWITZ, I
HAKKIO, CS
[J]. JOURNAL OF INTERNATIONAL ECONOMICS, 1985, 19 (1-2) : 47 - 66
[2] CAN A TIME-VARYING RISK PREMIUM EXPLAIN EXCESS RETURNS IN THE FORWARD MARKET FOR FOREIGN-EXCHANGE
KAMINSKY, G
PERUGA, R
[J]. JOURNAL OF INTERNATIONAL ECONOMICS, 1990, 28 (1-2) : 47 - 70
[3] TIME-VARYING BETAS AND RISK PREMIA IN THE PRICING OF FORWARD FOREIGN-EXCHANGE CONTRACTS
MARK, NC
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1988, 22 (02) : 335 - 354
[4] ON TIME-VARYING RISK PREMIA IN THE FOREIGN-EXCHANGE MARKET - AN ECONOMETRIC-ANALYSIS
MARK, NC
[J]. JOURNAL OF MONETARY ECONOMICS, 1985, 16 (01) : 3 - 18
[5] EXPECTED RETURNS, TIME-VARYING RISK, AND RISK PREMIA
EVANS, MDD
[J]. JOURNAL OF FINANCE, 1994, 49 (02): : 655 - 679
[6] Stationary time-varying risk premia in forward foreign exchange rates
Shively, PA
[J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2000, 19 (02) : 273 - 288
[7] Estimating time-varying conditional correlations between stock and foreign exchange markets
Tastan, H
[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2006, 360 (02) : 445 - 458
[8] TIME-VARYING RISK PREMIA AND FORECASTABLE RETURNS IN FUTURES MARKETS
BESSEMBINDER, H
CHAN, K
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1992, 32 (02) : 169 - 193
[9] Time-varying risk premia and the cross section of stock returns
Hui Guo
[J]. JOURNAL OF BANKING & FINANCE, 2006, 30 (07) : 2087 - 2107
[10] A suggestion for constructing a large time-varying conditional covariance matrix
Gibson, Heather D.
Hall, Stephen G.
Tavlas, George S.
[J]. ECONOMICS LETTERS, 2017, 156 : 110 - 113

← 1 2 3 4 5 →