Excess Returns, Portfolio Choices and Exchange rates Dynamics. The Yen/Dollar Case, 1980-1998
AbstractWe built a portfolio choice model in which agents are heterogeneous and possibly draw systematic rational forecast errors.
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Bibliographic InfoPaper provided by Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. in its series Papers with number 9836.
Date of creation: 1998
Date of revision:
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Postal: THEMA, Universite de Paris X-Nanterre, U.F.R. de science economiques, gestion, mathematiques et informatique, 200, avenue de la Republique 92001 Nanterre CEDEX.
EXCHANGE RATE ; FINANCIAL MARKET ; FORECASTS U.F.R. de science economiques; gestion; mathematiques et informatique; 200; avenue de la Republique 9 2001 Nanterre CEDEX. 43p.;
Other versions of this item:
- Andrade, Philippe & Bruneau, Catherine, 2002. " Excess Returns, Portfolio Choices and Exchange Rate Dynamics: The Yen/Dollar Case, 1980-1998," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(3), pages 237-60, July.
- Ph. Andrade & C. Bruneau, 1998. "Excess returns, portfolio choices and exchange rates dynamics. The Yen/Dollar case, 1980-1998," THEMA Working Papers 98-36, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- F30 - International Economics - - International Finance - - - General
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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- Georges Prat & Remzi Uctum, 2012. "Modeling the horizon-dependent risk premium in the forex market: evidence from survey data," EconomiX Working Papers 2012-29, University of Paris West - Nanterre la Défense, EconomiX.
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