Estimates of Foreign Exchange Risk Premia: A Pricing Kernel Approach
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- Kodongo, Odongo & Ojah, Kalu, 2011. "Foreign exchange risk pricing and equity market segmentation in Africa," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2295-2310, September.
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KeywordsForeign exchange; Risk premia; Pricing kernel;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F31 - International Economics - - International Finance - - - Foreign Exchange
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-10-15 (All new papers)
- NEP-FIN-2005-10-15 (Finance)
- NEP-FMK-2005-10-15 (Financial Markets)
- NEP-IFN-2005-10-15 (International Finance)
- NEP-RMG-2005-10-15 (Risk Management)
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