Recent estimates of time-variation in the conditional variance and in the exchange risk premium

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

Forward and spot exchange rates

1984 • 2,213 citations

Foreign currency option values

1983 • 1,077 citations

Conditional variance and the risk premium in the foreign exchange market

1985 • 512 citations

Exchange Rate Theory and Practice

1984 • 506 citations

The statistical properties of daily foreign exchange rates: 1974–1983

1988 • 452 citations

International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence

1982 • 379 citations

The statistical distribution of exchange rates: Empirical evidence and economic implications

1987 • 326 citations

In search of the exchange risk premium: A six-currency test assuming mean-variance optimization

1982 • 313 citations

The covariation of risk premiums and expected future spot exchange rates

1986 • 197 citations

Interest rates and risk premia in the stock market and in the foreign exchange market

1987 • 195 citations

On time varying risk premia in the foreign exchange market: An econometric analysis

1985 • 177 citations

Tests of rational expectations and no risk premium in forward exchange markets

1984 • 158 citations

Time-varying betas and risk premia in the pricing of forward foreign exchange contracts

1988 • 137 citations

Portfolio Crowding-Out, Empirically Estimated

1985 • 70 citations

The implications of mean-variance optimization for four questions in international macroeconomics

1986 • 65 citations

Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate

1988 • 52 citations

Are Exchange Rates Excessively Variable?

1987 • 42 citations

Employment Opportunities of Young Men and Family Formation

1989 • 40 citations

Tests of the foreign exchange risk premium using the expected second moments implied by option pricing

1988 • 38 citations

Risk, Uncertainty and Exchange Rates

1987 • 27 citations

Are exchange rates ‘excessively’ volatile?

1987 • 24 citations

Macroeconomic Stability and Flexible Exchange Rates

1985 • 17 citations

Foreign exchange risk premia volatility once again

1988 • 14 citations

The pricing of foreign currency options

1988 • 11 citations

The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model

2005 • 10 citations

A note on the magnitude of risk premia

1988 • 10 citations

Tests of International CAPM with Time-Varying Covariances

1987 • 5 citations