Title: Nonlinearities and Risk Premia in Daily Dollar-Mark Exchange Rate Movements
Abstract: The paper starts by discussing the role of nonlinearities for the arising of risk premia in economies with only risk neutral investors. It proceeds by tests for Brownian motions, leading to a clear rejection of the hypothesis of independent and normally distributed increments in the dollar- mark exchange rate. Finally, it shows that in times of higher exchange rate risk the German government has paid a risk premium.
Creation-Date: November 1992
Unfortunately this paper is not available online. Please contact us to order a hardcopy.
SFB 303 Homepage
17.02.1998, © Webmaster