The Intertemporal Relation between Expected Return and Risk on Currency

Research, Preprint OPEN
Bali, Turan G.; Yilmaz, Kamil;
(2009)
  • Publisher: Istanbul: TÜSİAD-Koç University Economic Research Forum
  • Subject: Risikoprämie | C22 | C13 | Foreign exchange market, ICAPM, High-frequency data, Time-varying risk aversion, Daily realized volatility | foreign exchange market | G12 | Risikoaversion | daily realized volatility | Beta-Faktor | Hedging | ICAPM | Korrelation | time-varying risk aversion | Zeitpräferenz | high-frequency data | Capital Asset Pricing Model | Theorie
    • jel: jel:C22 | jel:G12 | jel:C13
      ddc: ddc:330

The literature has so far focused on the risk-return tradeoff in equity markets and ignored alternative risky assets. This paper is the first to examine the presence and significance of an intertemporal relation between expected return and risk in the foreign exchange m... View more
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