Exchange rate returns, `news', and risk premia

DOI10.1016/0165-1765(95)00724-5zbMath0900.90025OpenAlexW2110408709MaRDI QIDQ672790

Kees G. Koedijk, Christian C. P. Wolff

Publication date: 28 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(95)00724-5

zbMATH Keywords

exchange ratesrisk premiasurvey data

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (1)

Portfolio Value-at-Risk with Heavy-Tailed Risk Factors

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

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