A multivariate GARCH in mean approach to testing uncovered interest parity: Evidence from Asia-Pacific foreign exchange markets

Quarterly Review of Economics and Finance

Volumn 41, Issue 4, 2001, Pages 441-460

  Tai, Chu Sheng ^a  

^a TEXAS A AND M UNIVERSITY KINGSVILLE   (United States)

Author keywords

C32; CAPM; F31; G12; Multivariate GARCH M; Time varying risk premium; UIP

Indexed keywords

EID: 0041324966     PISSN: 10629769     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1062-9769(01)00105-3     Document Type: Article

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