"Time-varying Risk Premia in Korea: Inference from Large Panel"

2020 ◽  
Vol 27 (2) ◽  
pp. 67-98
Author(s):  
Wonho Cho ◽  
Yongjun Kim
Keyword(s):  
Risk Premia ◽  
Time Varying ◽  
Large Panel

scholarly journals Exchange Rates and Liquidity Risk

2020 ◽  
Vol 11 (2) ◽  
pp. 159
Author(s):  
Martin D.D. EVANS
Keyword(s):  
Risk Factors ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Foreign Currency ◽  
Liquidity Risk ◽  
Risk Premia ◽  
Time Varying ◽  
Foreign Exchange Risk ◽  
Exchange Risk

I use Forex trading data to study how risks associated with the lack of liquidity contribute to the dynamics of 17 spot exchange rates through their time-varying contributions to risk premia. I find that liquidity risk matters. All the foreign exchange risk premia compensate investors for exposure to liquidity risk; and, for many currencies, exposure to liquidity risk appears to be more important than exposure to the traditional carry and momentum risk factors. I also find that variations in the price of liquidity risk make economically important contributions to the behavior of individual foreign currency returns: they account for approximately 34%, on average, of the variability in currency returns compared to the contribution of approximately 8% from the prices of carry and momentum risk.

Nonlinear and time-varying risk premia

2020 ◽  
Vol 62 ◽  
pp. 101467
Author(s):  
Chaoqun Ma ◽  
Xianhua Mi ◽  
Zongwu Cai
Keyword(s):  
Risk Premia ◽  
Time Varying

Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying

1993 ◽  
Vol 3 (2) ◽  
pp. 85-99 ◽  
Author(s):  
Marc Chesney ◽  
Robert J. Elliott ◽  
Dilip Madan ◽  
Hailiang Yang
Keyword(s):  
Diffusion Coefficient ◽  
Asset Pricing ◽  
Risk Premia ◽  
Time Varying ◽  
Coefficient Estimation
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