Exploration of the Foreign Exchange Forward Premiums and the Spot Exchange Return: A Multivariate Approach
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More about this item
KeywordsForward Premium Anomaly; Dynamic Conditional Correlation-multivariate Generalized Autoregressive Conditional Heteroskedasticity; Conditional Volatility; Volatility Persistence;
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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