A Nonlinear Analysis of Forward Premium and Volatility

DOI10.2202/1558-3708.1022MaRDI QIDQ3368201zbMATH OpenOpenAlexFDO

Authors Chiente Hsu, Peter Kugler

Publication date 27 January 2006

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://boris.unibe.ch/115766/1/snde.1997.1.4.1022.pdf

zbMATH Keywords

ARCH-in-meanForward and spot exchange ratesUnbiasedness hypothesis of the forward rate

Mathematics Subject Classification ID

Trade models (91B60) Statistical methods; economic indices and measures (91B82)

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