Modelling risk premiums in equity and foreign exchange markets / by René Garcia and Maral Kichian.: FB3-2/100-9E-PDF
In this paper, we evaluate excess asset returns in equity and foreign exchange markets by combining generalized preferences to a heteroscedastic driving process. We do so by extending the international asset-pricing model of Bekaert, Hodrick, and Marshall (1997) who assume disappointment-aversion-type preferences and a homoscedastic exogenous environment. We show that our very general framework is quite successful in generating predictability and moment levels of excess returns that are consistent with the sample data.--Introduction
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.571592&sl=0
| Department/Agency |
|
|---|---|
| Title | Modelling risk premiums in equity and foreign exchange markets / by René Garcia and Maral Kichian. |
| Series title |
|
| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
| Electronic document | |
| Other formats | Physical text-[English] |
| Note(s) |
|
| Publishing information |
|
| Description | 51p.references, tables |
| ISSN | 1701-9397 |
| Catalogue number |
|
| Subject terms |
Request alternate formats
To request an alternate format of a publication, complete the Government of Canada Publications email form. Use the form’s “question or comment” field to specify the requested publication.Page details
- Date modified: