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ESTIMATION OF THE TIME-VARYING RISK PREMIUM IN THE CZECH FOREIGN EXCHANGE MARKET.
- Source :
- Prague Economic Papers; 2012, Vol. 21 Issue 1, p3-17, 15p
- Publication Year :
- 2012
-
Abstract
- The paper focuses on both the theoretical and actual estimates of foreign exchange risk premium of the Czech Republic's koruna particularly to euro and U.S. dollar. The Kalman filtering procedure is used to model the risk premium. According to the author, the model for the exchange rate from koruna to euros showcased a notifiable explanation on the behaviour of spot exchange rate.
- Subjects :
- FOREIGN exchange rate risk
EURO
U.S. dollar
KALMAN filtering
Subjects
Details
- Language :
- English
- ISSN :
- 12100455
- Volume :
- 21
- Issue :
- 1
- Database :
- Supplemental Index
- Journal :
- Prague Economic Papers
- Publication Type :
- Academic Journal
- Accession number :
- 74996758
- Full Text :
- https://doi.org/10.18267/j.pep.407