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Latent factor model of European exchange rate risk premia

Alexius, Annika and Sellin, Peter

Latent factor model of European exchange rate risk premia J6112 1999 - 1999 - 217-227 V. 4 Issue. 3

Subjects--Topical Terms:
Finance and Economics

Subjects--Index Terms: Uncovered interest rate parity;Foreign exchange risk premium;Jensens inequality term;Latent factor model;ARCH;

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