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Statements

Subject Item
n2:RIV%2F00216208%3A11640%2F09%3A00330828%21RIV10-GA0-11640___
rdf:type
skos:Concept n14:Vysledek
dcterms:description
We address the issue of foreign exchange risk and its macroeconomic determinants in several new EU members. We derive the observable macroeconomic factors—consumption and inflation—using the stochastic discount factor (SDF) approach. The joint distribution of excess returns in the foreign exchange market and the factors are modeled using a multivariate GARCH-in-mean specification. We address the issue of foreign exchange risk and its macroeconomic determinants in several new EU members. We derive the observable macroeconomic factors—consumption and inflation—using the stochastic discount factor (SDF) approach. The joint distribution of excess returns in the foreign exchange market and the factors are modeled using a multivariate GARCH-in-mean specification.
dcterms:title
Macroeconomic sources of foreign exchange risk in new EU members Macroeconomic sources of foreign exchange risk in new EU members
skos:prefLabel
Macroeconomic sources of foreign exchange risk in new EU members Macroeconomic sources of foreign exchange risk in new EU members
skos:notation
RIV/00216208:11640/09:00330828!RIV10-GA0-11640___
n4:aktivita
n6:P n6:Z
n4:aktivity
P(GA402/08/1376), P(LC542), Z(MSM0021620846)
n4:cisloPeriodika
11
n4:dodaniDat
n5:2010
n4:domaciTvurceVysledku
n15:4000773
n4:druhVysledku
n17:J
n4:duvernostUdaju
n12:S
n4:entitaPredkladatele
n16:predkladatel
n4:idSjednocenehoVysledku
324312
n4:idVysledku
RIV/00216208:11640/09:00330828
n4:jazykVysledku
n18:eng
n4:klicovaSlova
foreign exchange risk; time-varying risk premium; Stochastic discount factor; new EU member countries
n4:klicoveSlovo
n7:foreign%20exchange%20risk n7:new%20EU%20member%20countries n7:Stochastic%20discount%20factor n7:time-varying%20risk%20premium
n4:kodStatuVydavatele
NL - Nizozemsko
n4:kontrolniKodProRIV
[D6EA249AF248]
n4:nazevZdroje
Journal of Banking & Finance
n4:obor
n9:AH
n4:pocetDomacichTvurcuVysledku
1
n4:pocetTvurcuVysledku
2
n4:projekt
n10:LC542 n10:GA402%2F08%2F1376
n4:rokUplatneniVysledku
n5:2009
n4:svazekPeriodika
33
n4:tvurceVysledku
Poghosyan, T. Kočenda, Evžen
n4:wos
000271343700021
n4:zamer
n19:MSM0021620846
s:issn
0378-4266
s:numberOfPages
10
n13:organizacniJednotka
11640