Journal article
International Asset Excess Returns and Multivariate Conditional Volatilities
Review of quantitative finance and accounting, Vol.24(3), pp.295-312
May 2005
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper constructs a multivariate model in relating multi-asset excess returns to their conditional variances. Applying weekly data to investigate the foreign-exchange risk premium, the evidence from a multivariate GARCH model shows that the foreign-exchange excess returns are significantly correlated with economic fundamentals such as the real interest-rate differential, long-short interest-rate spread differential, and equity-premium differential. The evidence also suggests that foreign-exchange excess returns are not independent of the conditional variances of these fundamental variables, supporting the time-varying risk-premium hypothesis.
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Details
- Title
- International Asset Excess Returns and Multivariate Conditional Volatilities
- Creators
- Thomas Chiang - Department of Finance Drexel University 3141 Chestnut Street Philadelphia PA 19104 USASheng-Yung Yang - Department of Finance National Chung Hsing University 250 Kuo Kuang Road Taichung 402 Taiwan ROC
- Publication Details
- Review of quantitative finance and accounting, Vol.24(3), pp.295-312
- Publisher
- Kluwer Academic Publishers; Boston
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Finance
- Identifiers
- 991014878492104721
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- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance