THE RISK PREMIUM ON THE AUSTRALIAN DOLLAR IN THE 30-DAY FORWARD MARKET

Authors
FELMINGHAM B
Citation
B. Felmingham, THE RISK PREMIUM ON THE AUSTRALIAN DOLLAR IN THE 30-DAY FORWARD MARKET, Applied economics letters, 3(4), 1996, pp. 233-235
Citations number
7
Categorie Soggetti
Economics
Journal title
Applied economics letters → ACNP
ISSN journal
13504851
Volume
3
Issue
4
Year of publication
1996
Pages
233 - 235
Database
ISI
SICI code
1350-4851(1996)3:4<233:TRPOTA>2.0.ZU;2-B
Abstract
A GARCH (1,1)-M model the 30-day forward rate error reveals the follow ing: 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.