The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective
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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
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美国国家经济研究局创建时间：
1994-08-01
