Modeling the horizon-dependent ex-ante risk premium in the foreign exchange market: Evidence from survey data

► The ex-ante risk premium is determined as the solution of a two-country portfolio asset pricing model. ► We measure the 3- and 12-month ahead JPY/USD and GBP/USD ex-ante risk premia using Consensus Economics survey data. ► The unobservable net market positions estimated using Kalman filtering shar...

Ausführliche Beschreibung

Gespeichert in:

Bibliographische Detailangaben
Veröffentlicht in:	Journal of international financial markets, institutions & money institutions & money, 2013-02, Vol.23, p.33-54
Hauptverfasser:	Prat, Georges, Uctum, Remzi
Format:	Artikel
Sprache:	eng
Schlagworte:	CAPM Economic models Economic theory Economics and Finance Estimating techniques Exchange rates Foreign exchange Foreign exchange market Foreign exchange markets Humanities and Social Sciences International asset pricing model Methodology Risk aversion Risk premium Risk premiums Risk theory Studies Survey data U.S.A
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Schreiben Sie den ersten Kommentar!