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- W4307799247 abstract "We present the pricing of the documented excess volatility of the foreign exchange risk premium, relative to the interest rate differential. By specifying a term structure of interest rate model, the physical probability measure along with the pricing kernels or discount factors are used to derive a system for the expected future spot rate and the forward rate. The theoretical loads are found by solving the Riccati ordinary differential equations, and dynamic factors are captured to set up the global factors for both currencies. It shows that we prove the interest-rate surfaces are almost identical to the empirical ones, and the theoretical interest rates are guaranteed to be positive." @default.
- W4307799247 created "2022-11-05" @default.
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- W4307799247 date "2022-01-02" @default.
- W4307799247 modified "2023-10-14" @default.
- W4307799247 title "Pricing the Excess Volatility in Foreign Exchange Risk Premium and Forward Rate Bias" @default.
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- W4307799247 doi "https://doi.org/10.1080/1350486x.2022.2108857" @default.
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