Efficiency, Risk Premia, Error Correction Models and Conditional Heteroscedasticity in Foreign Exchange Markets
Title | Efficiency, Risk Premia, Error Correction Models and Conditional Heteroscedasticity in Foreign Exchange Markets PDF eBook |
Author | Nita Thacker |
Publisher | |
Pages | 552 |
Release | 1990 |
Genre | Foreign exchange |
ISBN |
Efficiency, Risk Premia, Error Correction Models and Conditional Heterosedasticity in Foreign Exchange Markets
Title | Efficiency, Risk Premia, Error Correction Models and Conditional Heterosedasticity in Foreign Exchange Markets PDF eBook |
Author | N. Thacker |
Publisher | |
Pages | |
Release | 1990 |
Genre | Foreign exchange market |
ISBN |
Non-parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency
Title | Non-parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency PDF eBook |
Author | Mike Wickens |
Publisher | |
Pages | 60 |
Release | 1989 |
Genre | Economics |
ISBN |
Time-varying Risk Premia in Forward Foreign Exchange Markets and Conditional Heteroskedasticity
Title | Time-varying Risk Premia in Forward Foreign Exchange Markets and Conditional Heteroskedasticity PDF eBook |
Author | William Dean Lastrapes |
Publisher | |
Pages | 208 |
Release | 1986 |
Genre | |
ISBN |
Intervention and the Foreign Exchange Risk Premium
Title | Intervention and the Foreign Exchange Risk Premium PDF eBook |
Author | Owen F. Humpage |
Publisher | |
Pages | 40 |
Release | 1990 |
Genre | Banks and banking, Central |
ISBN |
On Biases in the Measurement of Foreign Exchange Risk Premiums
Title | On Biases in the Measurement of Foreign Exchange Risk Premiums PDF eBook |
Author | Geert Bekaert |
Publisher | |
Pages | 60 |
Release | 1991 |
Genre | Devaluation of currency |
ISBN |
The hypothesis that the forward rate is an unbiased predictor of the future spot rate has been consistently rejected in recent empirical studies. This paper examines several sources of measurement error and misspecification that might induce biases in such studies. Although previous inferences are shown to be robust to a failure to construct true returns and to omitted variable bias arising from conditional heteroskedasticity in spot rates, we show that the parameters were not stable over the 1975-1989 sample period. Estimation that allows for endogenous regime shifts in the parameters demonstrates that deviations from unbiasedness were more severe in the 1980's.
The Time-variation of Risk and Return in the Foreign Exchange and Stock Markets
Title | The Time-variation of Risk and Return in the Foreign Exchange and Stock Markets PDF eBook |
Author | Alberto Giovannini |
Publisher | |
Pages | 56 |
Release | 1988 |
Genre | Business enterprises |
ISBN |
Recent empirical work indicates that, in a variety of financial markets, both conditional expectations and conditional variances of returns are time- varying. The purpose of this paper is to determine whether these joint fluctuations of conditional first and second moments are consistent with the Sharpe-Lintner-Mossin capital-asset-pricing model. We test the mean-variance model under several different assumptions about the time-variation of conditional second moments of returns, using weekly data from July 1974 to December 1986, that include returns on a portfolio composed of dollar, Deutsche mark, Sterling, and Swiss franc assets, together with the US stock market. The model is estimated constraining risk premia to depend on the time-varying conditional covariance matrix of the residuals of the expected returns equations. The results indicate that estimated conditional variances cannot explain the observed time-variation of risk premia. Furthermore, the constraints imposed by the static CAPH are always rejected.