haku: @author Gerard, B. / yhteensä: 3
viite: 2 / 3
| Tekijä: | De Santis, G. Gérard, B. |
| Otsikko: | How big is the premium for currency risk? |
| Lehti: | Journal of Financial Economics
1998 : SEP, VOL.49:3, p. 375-412 |
| Asiasana: | Capital asset pricing Asset valuation Currency markets Exchange rates |
| Kieli: | eng |
| Tiivistelmä: | The authors estimate and test the conditional version of an international capital asset pricing model using a parsimonious multivariate GARCH process. Since the approach is fully parametric, they can recover any quantity that is a function of the first two conditional moments. Their findings strongly support a model which includes both market and foreign exchange risk. The evidence also indicates that, with the exception of the U.S. equity market, the premium for bearing currency risk often represents a significant fraction of the total premium. |
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