A multivariate GARCH model of risk premia in foreign exchange markets

Economic Modelling

Volumn 14, Issue 1, 1997, Pages 61-79

  Malliaropulos, Dimitrios ^a  

^a BRUNEL UNIVERSITY   (United Kingdom)

Author keywords

CAPM; Conditional volatility; Risk premia in foreign exchange markets; Vector GARCH

Indexed keywords

EID: 0030641982     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0264-9993(96)01010-3     Document Type: Article

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