1 option
Recent Estimates of Time-Variation in the Conditional Variance and in the Exchange Risk Premium / Jeffrey A. Frankel.
- Format:
- Book
- Author/Creator:
- Frankel, Jeffrey A.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w2367.
- NBER working paper series no. w2367
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1987.
- Summary:
- The optimal-diversification model of investors' portfolio behavior can give a linear relationship between the exchange risk premium and the conditional exchange rate variance. This note surveys recent empirical work that allows for the conditional variance itself, and therefore the risk premium, to vary over time. In particular, it examines the implications of recent empirical estimates for earlier arguments, based on the assumption that the conditional variance was constant over time, that the exchange risk premium had to be small in magnitude and variability.
- Notes:
- Print version record
- August 1987.
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.