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| 02131nam##2200337za#4500 |
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001 | 9.615189 |
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003 | CaOODSP |
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005 | 20211126112847 |
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007 | ta |
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008 | 150406|2000||||xxc||||| f|0| 0 eng|d |
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020 | |a0-662-28960-9 |
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022 | |a1192-5434 |
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040 | |aCaOODSP|beng |
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043 | |an-cn--- |
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086 | 1 |aFB3-2/100-9E |
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110 | 2 |aBank of Canada. |
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245 | 10|aModelling risk premiums in equity and foreign exchange markets / |cby René Garcia and Maral Kichian. |
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260 | |aOttawa - Ontario : |bBank of Canada |c2000. |
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300 | |avi, 42p. : |breferences, tables ; |c28 cm. |
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490 | 1 |aWorking paper|x1192-5434|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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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 | |aRésumés en français |
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563 | |aSoftcover |
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590 | |a00-22|b2000-06-22 |
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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)9.571592 |
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830 | #0|aWorking paper,|x1192-5434|v2000-9|w(CaOODSP)9.514622 |
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