A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets
Publication
, Journal Article
Baillie, RT; Bollerslev, T
Published in: Journal of International Money and Finance
January 1, 1990
Assuming that daily spot exchange rates follow a martingale process, we derive the implied time series process for the vector of 30-day forward rate forecast errors from using weekly data. The conditional second moment matrix of this vector is modelled as a multivariate generalized ARCH process. The estimated model is used to test the hypothesis that the risk premium is a linear function of the conditional variances and covariances as suggested by the standard asset pricing theory literature. Little supportt is found for this theory; instead lagged changes in the forward rate appear to be correlated with the 'risk premium.'. © 1990.
Duke Scholars
Published In
Journal of International Money and Finance
DOI
ISSN
0261-5606
Publication Date
January 1, 1990
Volume
9
Issue
3
Start / End Page
309 / 324
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1403 Econometrics
- 1402 Applied Economics
Citation
APA
Chicago
ICMJE
MLA
NLM
Baillie, R. T., & Bollerslev, T. (1990). A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets. Journal of International Money and Finance, 9(3), 309–324. https://doi.org/10.1016/0261-5606(90)90012-O
Baillie, R. T., and T. Bollerslev. “A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets.” Journal of International Money and Finance 9, no. 3 (January 1, 1990): 309–24. https://doi.org/10.1016/0261-5606(90)90012-O.
Baillie RT, Bollerslev T. A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets. Journal of International Money and Finance. 1990 Jan 1;9(3):309–24.
Baillie, R. T., and T. Bollerslev. “A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets.” Journal of International Money and Finance, vol. 9, no. 3, Jan. 1990, pp. 309–24. Scopus, doi:10.1016/0261-5606(90)90012-O.
Baillie RT, Bollerslev T. A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets. Journal of International Money and Finance. 1990 Jan 1;9(3):309–324.
Published In
Journal of International Money and Finance
DOI
ISSN
0261-5606
Publication Date
January 1, 1990
Volume
9
Issue
3
Start / End Page
309 / 324
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1403 Econometrics
- 1402 Applied Economics