Can signal extraction help predict risk premia in foreign exchange rates

Khurshid Kiani

Economic Modelling, 2013, vol. 33, issue C, 926-939

Abstract: The present study investigates possible existence of time varying risk premia in Brazilian real, Chinese yuan; Cypriot pound, Danish krone, Eurozone euro, French franc, Indian rupee, Japanese yen, Pakistani rupee, and British pound forward foreign exchange rates against US dollar. Exchange rates in these series are modeled using non-Gaussian state space models that encompass non-normality and GARCH-like affects.

Keywords: Forward foreign exchange rates; Non-normality; Risk premium; Spot foreign exchange rates; State space model; Volatility persistence (search for similar items in EconPapers)
JEL-codes: C5 F31 G12 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:33:y:2013:i:c:p:926-939

DOI: 10.1016/j.econmod.2013.06.005

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