The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective
收藏NBER1994-08-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w4818
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资源简介：
This paper investigates the statistical properties of high frequency nominal exchange rates and forward premiums in the context of a dynamic two-country general equilibrium model. Primary focus is on the persistence, variability, leptokurtosis and conditional heteroskedasticity of exchange rates and
提供机构：
美国国家经济研究局
创建时间：
1994-08-01
