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Measuring the forward foreign exchange risk premium: multi-country evidence from unobserved components models

. Journal of International Financial Markets, Institutions and Money, 10 (1): 1--8 (January 2000)

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Autoregressive conditional heteroscedasticity: A comparison of ARCH and random coefficient models. Economics Letters, 27 (2): 141--143 (1988)More evidence on the dollar risk premium in the foreign exchange market, , and . Journal of International Money and Finance, 23 (2): 271--282 (March 2004)Models of exchange rates : A comparison of forecasting results. International Journal of Forecasting, 4 (4): 605--607 (1988)An evaluation framework for alternative VaR-models, , and . Journal of International Money and Finance, 24 (6): 944--958 (October 2005)EMS exchange rate expectations and time-varying risk premia, , and . Economics Letters, 60 (3): 351--355 (Sep 1, 1998)Exchange rate models and innovations : A derivation. Economics Letters, 20 (4): 373--376 (1986)Scandinavian forward discount bias risk premia, and . Economics Letters, 73 (1): 65--72 (October 2001)A note on the determinants of unexpected exchange rate movements, and . Journal of Banking & Finance, 20 (1): 179--188 (January 1996)Loss Functions in Option Valuation: A Framework for Selection., , and . Manag. Sci., 55 (5): 853-862 (2009)Measuring the forward foreign exchange risk premium: multi-country evidence from unobserved components models. Journal of International Financial Markets, Institutions and Money, 10 (1): 1--8 (January 2000)