英文标题：
《Foreign exchange risk premia: from traditional to state-space analyses》
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作者：
Siwat Nakmai
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最新提交年份：
2016
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英文摘要：
This paper examines foreign exchange risk premia from simple univariate regressions to the state-space method. The adjusted traditional regressions properly figure out the existence and time-evolving property of the risk premia. Successively, the state-space estimations overall are quite rationally competent in examining the essence of time variability of the unobservable risk premia. To be more precise, the coefficients on the lagged estimated time-series are significant and the disturbance combined from the observation and transition equations in the state-space system, rational and premium errors, respectively, is statistically white noise. Such the two residuals are discovered to move oppositely with their covariance approaching zero suggested by the empirics. Besides, foreign exchange risk premia are projected and found significantly stationary at level and relatively volatile throughout time with some clustering. This volatility is however not quite dominant in the deviations of forward prediction errors.
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中文摘要：
本文从简单的单变量回归到状态空间方法，考察了外汇风险溢价。调整后的传统回归正确地计算出了风险溢价的存在性和时间演化性。接着，状态空间估计在检验不可观测风险溢价的时间可变性本质方面具有相当合理的能力。更精确地说，滞后估计时间序列上的系数是显著的，状态空间系统中的观测方程和过渡方程、有理误差和溢价误差分别组合而成的干扰是统计白噪声。发现这两个残差反向移动，其协方差接近经验所建议的零。此外，对外汇风险溢价进行了预测，发现外汇风险溢价在水平上显著平稳，在整个时间段内相对波动，并存在一定的聚类性。然而，这种波动性在远期预测误差的偏差中并不占主导地位。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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