Asset prices with stochastic volatilities and a UIP puzzle
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DOI: 10.1016/j.iref.2019.05.004
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Keywords
Uncovered interest parity puzzle; Risk premium in currency market; Macroeconomic uncertainty; Stochastic volatility model; Smooth transition; Consumption based asset pricing model;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
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