Recent Estimates of Time-Variation in the Conditional Variance and in the Exchange Risk Premium
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https://www.nber.org/papers/w2367
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资源简介：
The optimal-diversification model of investors' portfolio behavior can give a linear relationship between the exchange risk premium and the conditional exchange rate variance. This note surveys recent empirical work that allows for the conditional variance itself, and therefore the risk premium, to
提供机构：
美国国家经济研究局
创建时间：
1987-08-01
