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Evidence of risk Premia in Foreign Currency Futures Markets
0 references·3 citing·12 second hopsampled
Evidence of risk Premia in Foreign Currency Futures Markets (1989)Evidence of risk Premia in Foreign Curren…ARCH modeling in finance (1992)ARCH modeling in financeIntra-Day and Inter-Market Volatility in Foreign Exchange Rates (1991)Intra-Day and Inter-Market Vo…A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets (1990)A multivariate generalized AR…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Dynamic Conditional Correlation (2002)Testing for a Unit Root in Time Series Regression (1988)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Is the correlation in international equity returns constant: 1960–1990? (1995)
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  • 1992ARCH modeling in finance4,343 cited
  • 1991Intra-Day and Inter-Market Volatility in Foreign Exchange Rates489 cited
  • 1990A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets294 cited

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