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The risk premium on the Australian dollar in the 30-day forward market
journal contribution
posted on 2023-05-16, 10:17 authored by Felmingham, BSA 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.
History
Publication title
Applied Economics LettersIssue
4Pagination
233-235ISSN
1350-4851Department/School
TSBEPublisher
Routledge Taylor & Francis LtdPlace of publication
4 Park Square, Milton Park, Abingdon, England, Oxfordshire, Ox14 4RnRepository Status
- Restricted