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The risk premium on the Australian dollar in the 30-day forward market

journal contribution
posted on 2023-05-16, 10:17 authored by Felmingham, BS
A GARCH (1,1)-M model of the 30-day forward rate error reveals the following: a constant, but not time varying risk premium; evidence of market inefficiencies; a well determined GARCH (1,1) effect, but no I-GARCH process. The daily time series extended from 2 January 1985 to 13 May 1994.

History

Publication title

Applied Economics Letters

Issue

4

Pagination

233-235

ISSN

1350-4851

Department/School

TSBE

Publisher

Routledge Taylor & Francis Ltd

Place of publication

4 Park Square, Milton Park, Abingdon, England, Oxfordshire, Ox14 4Rn

Repository Status

  • Restricted

Socio-economic Objectives

Microeconomics not elsewhere classified

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    University Of Tasmania

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    In Copyright

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