haku: @indexterm Decision analysis / yhteensä: 468
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| Tekijä: | Aggarwal, R. |
| Otsikko: | Distribution of Spot and Forward Exchange Rates: Empirical Evidence and Investor Valuation of Skewness and Kurtosis |
| Lehti: | Decision Sciences
1990 : Summer, VOL. 21:3, p. 588-595 |
| Asiasana: | CAPITAL ASSET PRICING DECISION ANALYSIS FINANCE RISK ANALYSIS |
| Kieli: | eng |
| Tiivistelmä: | The author studies the distribution of exchange rates for eight major currencies for the post-1973 floating rate period. The results demonstrate that spot rates, forward rates and ex- post premia exhibit significant deviations from normality, and that risk premia in forward rates reflect investor preferences for skewness and his aversion toward standard deviation and kurtosis. Conclusion: many fields should take into account non-normalcy. |
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