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유위험 이자율 평가이론 검정을 위한 연속시간의 준모 ... - 한국경제학회

유위험 이자율 평가이론 검정을 위한 연속시간의 준모 ... - 한국경제학회

유위험 이자율 평가이론 검정을 위한 연속시간의 준모 ... - 한국경제학회

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유위험 이자율 평가이론 검정을 위한 연속시간의 준모수적 모형 8914. Chaboud, A. and J. Wright, “Uncovered Interest Parity: It Works, But not for Long,”Journal of International Economics, 66(2), 2005, pp.349-362.15. Chinn, M. and G. Meredith, “Monetary Policy and Long-Horizon Uncovered InterestParity,” IMF Staff Papers, 2004, pp.409-430.16. Chung, H. and J. Park, “Nonstationary Nonlinear Heteroskedasticity in Regression,”Journal of Econometrics, 137(1), 2007, pp.230-259.17. De Brouwer, G., Financial Integration in East Asia, Cambridge Univ Pr., 1999.18. Engel, C. and A. Rodrigues, “Tests of International CAPM with Time-varyingCovariances,” National Bureau of Economic Research Cambridge, Mass., USA, 1987.19. Engel, C., “The Forward Discount Anomaly and the Risk Premium: A Survey of RecentEvidence,” Journal of Empirical Finance, 3, 1996, pp.123-192.20. Fama, E., “Forward and Spot Exchange Rates,” Journal of Monetary Economics, 14(3),1984, pp.319-338.21. Flood, R., “Uncovered Interest Parity in Crisis: The Interest Rate Defense in the 1990s,”International Monetary Fund, 2001.22. Frankel, J., “In Search of the Exchange Risk Premium: A Six-currency Test AssumingMean-Variance Optimization,” Journal of International Money and Finance, 1, 1982,pp.255-274.23. Frankel, J. and J. Poonawala, “The Forward Market in Emerging Currencies: Less BiasedThan in Major Currencies,” Journal of International Money and Finance, 29, 2010,pp.585-59824. Froot, K. and J. Frankel, “Forward Discount Bias: Is it an Exchange Risk Premium?,”The Quarterly Journal of Economics, 104(1), 1989, pp.139-161.25. Froot, K., “Short Rates and Expected Asset Returns,” Technical Report, National Bureauof Economic Research, 1990.26. Giovannini, A. and P. Jorion, “Interest Rates and Risk Premia in the Stock Market andin the Foreign Exchange Market,” Journal of International Money and Finance, 6(1),1987, pp.107-123.27. Hamilton, J.D., “The Daily Markets for Federal Funds,” Journal of Political Economy, 104(1), 1996, pp.26-56.28. Ito, H. and M. Chinn, “Price-based Measurement if Financial Globalization: ACross-Country Study of Interest Rate Parity,” Pacific Economic Review, 12(4), 2007,pp.419-444.29. Jacewitz, S. and J.Y. Park, “Stock Return Predictability in Volatility Time,” WorkingPaper, 2009.30. Jacewitz, S., Hwagyun Kim and J.Y. Park, “A New Approach to the Forward PremiumAnomaly: Testing for No Arbitrage in Continuous Time,” Working Paper, 2010.31. Jorion, P., “The Pricing of Exchange Rate Risk in the Stock Market,” Journal of Financialand Quantitative Analysis, 26(3), 1991, pp.363-376.32. Kim, H., H. Lee and J.Y. Park, “A General Approach to Extract Stochastic Volatilitieswith an Empirical Analysis of Volatility Premium,” Mimeographed, 2009.

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