Monetary policy regime changes and the risk premium in the foreign exchange markets : A GARCH application
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 37 (1991)
Issue (Month): 4 (December)
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Web page: http://www.elsevier.com/locate/ecolet
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- Charles Engel, 1995. "The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence," NBER Working Papers 5312, National Bureau of Economic Research, Inc.
- Claudia M. Buch & Joerg Doepke & Christian Pierdzioch, 2004.
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- Saadi, Samir & Rahman, Abdul, 2008. "Evidence of non-stationary bias in scaling by square root of time: Implications for Value-at-Risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(3), pages 272-289, July.
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