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The risk premium on the Australian dollar in the 30-day forward market

Citation

Felmingham, BS, The risk premium on the Australian dollar in the 30-day forward market, Applied Economics Letters, 3, (4) pp. 233-235. ISSN 1350-4851 (1996) [Refereed Article]

DOI: doi:10.1080/758520870

Abstract

A GARCH (1,1)-M model of the 30-day forward rate error reveals the following: a constant, but not time varying risk premium; evidence of market inefficiencies; a well determined GARCH (1,1) effect, but no I-GARCH process. The daily time series extended from 2 January 1985 to 13 May 1994.

Item Details

Item Type:Refereed Article
Research Division:Commerce, Management, Tourism and Services
Research Group:Banking, Finance and Investment
Research Field:Finance
Objective Division:Economic Framework
Objective Group:Microeconomics
Objective Field:Microeconomics not elsewhere classified
Author:Felmingham, BS (Dr Bruce Felmingham)
ID Code:8453
Year Published:1996
Web of Science® Times Cited:1
Deposited By:Economics and Finance
Deposited On:1996-08-01
Last Modified:2011-08-19
Downloads:0

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