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| Author: | Shively, P. |
| Title: | Stationary time-varying risk premia in forward foreign exchange rates |
| Journal: | Journal of International Money and Finance
2000 : APR, VOL. 19:2, p. 273-288 |
| Index terms: | FINANCE RISK FOREIGN EXCHANGE |
| Language: | eng |
| Abstract: | There is mounting evidence that forward foreign exchange rates contain time-varying risk premia. However, this evidence is from tests for which statistical inference is based on asymptotic distribution theory. Furthermore, it is uncertain whether risk premia evolve as stationary or nonstationary processes. This paper applies two exact small-sample, pointwise most powerful invariant statistical tests to determine whether forward exchange rates contain time-varying risk premia. |
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