Macroeconomic sources of foreign exchange risk in new EU members

Journal of Banking and Finance

Volumn 33, Issue 11, 2009, Pages 2164-2173

  Kočenda, Evžen ^a   Poghosyan, Tigran ^b  

^a INSTITUTE OF MATHEMATICS   (Czech Republic)

^b UNIVERSITY OF GRONINGEN   (Netherlands)

Author keywords

Foreign exchange risk; Multivariate GARCH in mean; New EU member countries; Stochastic discount factor; Time varying risk premium

Indexed keywords

EID: 70349179288     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2009.05.015     Document Type: Article

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