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The Time-Series Properties of the Risk Premium in the Yen/Dollar Exchange Market

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Author Info
Canova, Fabio
Ito, Takatoshi

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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 6 (1991)
Issue (Month): 2 (April-June)
Pages: 125-42
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Handle: RePEc:jae:japmet:v:6:y:1991:i:2:p:125-42

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  1. Nelson C. Mark & Yangru Wu, 1996. "Risk, Policy Rules, and Noise: Rethinking Deviations From Uncovered Interest Parity," Working Papers 014, Ohio State University, Department of Economics. [Downloadable!]
    Other versions:
  2. Ehsan Ahmed & Honggang Li & J. Barkley Rosser, 2006. "Nonlinear bubbles in Chinese Stock Markets in the 1990s," Eastern Economic Journal, Eastern Economic Association, vol. 32(1), pages 1-18, Winter. [Downloadable!]
  3. Ram Bhar & Carl Chiarella & Toan Pham, 2000. "Modeling the Currency Forward Risk Premium: Theory and Evidence," Research Paper Series 41, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  4. Luca Benati, . "Affine term structure models for the foreign exchange risk premium," Bank of England working papers 291, Bank of England. [Downloadable!]
  5. Landon, Stuart & Smith, Constance, 1999. "The risk premium, exchange rate expectations, and the forward exchange rate: Estimates for the Yen-Dollar rate," MPRA Paper 9775, University Library of Munich, Germany. [Downloadable!]
    Other versions:
  6. Nelson Mark & Yangru Wu, 1998. "Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise," Working Papers 98-05, Ohio State University, Department of Economics. [Downloadable!]
    Other versions:
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