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| 001 | 9.571592 |
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| 003 | CaOODSP |
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| 005 | 20211126112844 |
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| 007 | cr ||||||||||| |
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| 008 | 150406|2000||||xxc|||||o f|0| 0 eng|d |
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| 022 | |a1701-9397 |
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| 040 | |aCaOODSP|beng |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-2/100-9E-PDF |
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| 110 | 2 |aBank of Canada. |
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| 245 | 10|aModelling risk premiums in equity and foreign exchange markets / |h[electronic resource]|cby René Garcia and Maral Kichian. |
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| 260 | |aOttawa - Ontario : |bBank of Canada |cMay 2000. |
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| 300 | |a51p.|breferences, tables |
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| 490 | 1 |aBank of Canada working paper|x1701-9397|v2000-9 |
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| 500 | |a"In this paper, we evaluate excess asset returns in equity and foreign exchange markets by combining generalized preferences to a heteroscedastic driving process. We do so by extending the international asset-pricing model of Bekaert, Hodrick, and Marshall (1997) who assume disappointment-aversion-type preferences and a homoscedastic exogenous environment. We show that our very general framework is quite successful in generating predictability and moment levels of excess returns that are consistent with the sample data."--Introduction. |
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| 500 | |aThe ISBN (0-662-28960-9) and ISSN (1192-5434) for the print edition have been incorrectly copied in this electronic publication. |
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| 520 | 3 |aIn this paper, we evaluate excess asset returns in equity and foreign exchange markets by combining generalized preferences to a heteroscedastic driving process. We do so by extending the international asset-pricing model of Bekaert, Hodrick, and Marshall (1997) who assume disappointment-aversion-type preferences and a homoscedastic exogenous environment. We show that our very general framework is quite successful in generating predictability and moment levels of excess returns that are consistent with the sample data.--Introduction |
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| 546 | |aRésumé en français. |
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| 590 | |a11-19-Supp|b2011-09-23 |
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| 690 | 07|aMarkets|2gcpds |
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| 690 | 07|aExchange rates|2gcpds |
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| 720 | 1 |aKichian, Maral |
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| 720 | 1 |aGarcia, René |
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| 776 | 0#|tModelling risk premiums in equity and foreign exchange markets / |w(CaOODSP)9.615189 |
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| 830 | #0|aWorking paper (Bank of Canada)|x1701-9397|v2000-9|w(CaOODSP)9.504604 |
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| 856 | 40|ahttp://publications.gc.ca|qPDF|s293 KB|uhttps://publications.gc.ca/collections/Collection/FB3-2-100-9E.pdf|y2000-9 |
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