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dc.contributor.authorGALLO, Giampiero M.
dc.contributor.authorPACINI, Barbara
dc.date.accessioned2021-05-21T10:03:08Z
dc.date.available2021-05-21T10:03:08Z
dc.date.issued1998
dc.identifier.citationInternational journal of finance & economics, 1998, Vol. 3, No. 3, pp. 241-259en
dc.identifier.issn1076-9307
dc.identifier.urihttps://hdl.handle.net/1814/71305
dc.descriptionFirst published: 21 December 1998en
dc.description.abstractIn this paper we analyse the consequences of considering risk-augmented specifications of the relationship between spot and forward rates. Previous parametric specifications such as the GARCH-M provided disappointing results possibly due to the high degree of persistence of the estimated process for conditional volatility. We propose a more flexible semiparametric approach where a nonparametric estimator of the conditional volatility is used as an instrumental variable, and we apply it on six major currencies vis-a-vis the Deutsche Mark (monthly data). An interesting picture of shifting risk perception arises when an indicator of market sentiment in the form of trading signals to purchase or sell a currency is inserted in the model. (C) 1998 John Wiley & Sons, Ltd.en
dc.language.isoen
dc.publisherJohn Wiley & Sonsen
dc.relation.ispartofInternational journal of finance & economicsen
dc.relation.isbasedonhttp://hdl.handle.net/1814/570
dc.titleTime-varying/sign-switching risk perception on foreign exchange markets
dc.typeArticle
dc.identifier.doi10.1002/(SICI)1099-1158(199807)3:3<241
dc.identifier.volume3
dc.identifier.startpage241
dc.identifier.endpage259
eui.subscribe.skiptrue
dc.identifier.issue3
dc.description.versionThe article is a published version of EUI ECO WP; 1995/45


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