Keyword: foreign curreny futures prices, risk premium

論文タイトル Evidence of risk premiums in foreign currency futures markets
出版情報 the Review of Financial Studies, Volume 5, Issue 1, 1992
著者 TH McCurdy and I Morgan
概要(abstract) "Weekly data for foreign currency futures prices are examined for evidence of risk premium. Covariance risks are measured with respect to the excess returns from benchmark portfolios for consumption and wealth. When the parameters representing the prices of the covariance risks are held constant, no risk premiums are detected. However, when these prices are allowed to vary with the conditional expected returns and variances of the benchmark portfolios, possibly reflecting changing investment opportunities, strong evidence of risk premiums is obtained."
使用されているNAG製品 3変数の方程式の対数尤度の最大値を求める際にNAG Fortran Library ルーチン E04HBF 及び E04JBF が使用されている。


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