Add to ORKGThe paper presents both the theoretical account of the issue of foreign exchange risk premium and the actual estimates of the time-varying risk premium for the cases of the Czech koruna to euro and US dollar. The risk premium is modelled within a state space framework and estimated using the Kalman fi ltering procedure. Some fi nancial market fundamentals are used to estimate the risk premium, and thus not only do the estimates give insight into the foreign exchange market behaviour but also into some linkages between the various segments of the fi nancial market as a whole
This paper analyses the behavior of the foreign exchange risk premium using long-horizon regressions...
We test whether the floating exchange rates of the EU New Member States against the euro are determi...
This paper applies stochastic discount factor methodology to modeling foreign ex-change risk premium...
The paper estimates currency risk premia for the Czech Republic, Hungary, Poland and Slovakia. Three...
This report describes the Czech koruna option market and explores the behaviour of option prices dur...
The authors study the dependence of the Czech koruna’s exchange rate to the euro on risk factors tha...
In this paper we seek to develop a new approach to the time series analysis of foreign exchange risk...
Investors' decisions are largely influenced by the riskiness of the country. Several different appro...
This paper builds two factor discrete time models in order to investigate the effect of sovereign ri...
The paper proposes a continuous time model of an FX market organized as a multiple dealership. The m...
Currency options are interesting for market and central bank economists, because they contain inform...
The aim of the work is to analyze the theoretical basis of determination of the market risk premium ...
The paper presents a new approach to exchange rate modelling that augments the CHEER model with a so...
The bachelor thesis is focused on foreign exchange risk management used by households, firms and ban...
The relation between the volatilities of pricing kernels associated with di�erent currencies and the...
This paper analyses the behavior of the foreign exchange risk premium using long-horizon regressions...
We test whether the floating exchange rates of the EU New Member States against the euro are determi...
This paper applies stochastic discount factor methodology to modeling foreign ex-change risk premium...
The paper estimates currency risk premia for the Czech Republic, Hungary, Poland and Slovakia. Three...
This report describes the Czech koruna option market and explores the behaviour of option prices dur...
The authors study the dependence of the Czech koruna’s exchange rate to the euro on risk factors tha...
In this paper we seek to develop a new approach to the time series analysis of foreign exchange risk...
Investors' decisions are largely influenced by the riskiness of the country. Several different appro...
This paper builds two factor discrete time models in order to investigate the effect of sovereign ri...
The paper proposes a continuous time model of an FX market organized as a multiple dealership. The m...
Currency options are interesting for market and central bank economists, because they contain inform...
The aim of the work is to analyze the theoretical basis of determination of the market risk premium ...
The paper presents a new approach to exchange rate modelling that augments the CHEER model with a so...
The bachelor thesis is focused on foreign exchange risk management used by households, firms and ban...
The relation between the volatilities of pricing kernels associated with di�erent currencies and the...
This paper analyses the behavior of the foreign exchange risk premium using long-horizon regressions...
We test whether the floating exchange rates of the EU New Member States against the euro are determi...
This paper applies stochastic discount factor methodology to modeling foreign ex-change risk premium...