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Risk premia in forward foreign exchange rates: a comparison of signal extraction and regression methods

Zhiguang Wang and Prasad Bidarkota ()

Empirical Economics, 2012, vol. 42, issue 1, 51 pages

Keywords: Spot foreign exchange rates; Forward foreign exchange rates; Time-varying risk premium; Signal extraction; Non-normality; Volatility persistence; F31; C5; G12 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s00181-010-0427-y

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