Publications [#238016] of Tim Bollerslev

Journal Articles

1. Baillie, RT; Bollerslev, T, A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets, Journal of International Money and Finance, vol. 9 no. 3 (January, 1990), pp. 309-324, Elsevier BV, ISSN 0261-5606 [repository], [doi]
   (last updated on 2026/01/18)

   Abstract:
   Assuming that daily spot exchange rates follow a martingale process, we derive the implied time series process for the vector of 30-day forward rate forecast errors from using weekly data. The conditional second moment matrix of this vector is modelled as a multivariate generalized ARCH process. The estimated model is used to test the hypothesis that the risk premium is a linear function of the conditional variances and covariances as suggested by the standard asset pricing theory literature. Little supportt is found for this theory; instead lagged changes in the forward rate appear to be correlated with the 'risk premium.'. © 1990.