Koning, C. de

coecient dollar premium model regression exchange table variation risk premium time variation result slope time-varying parameter error value ft st estimate sample market signi dollar /yen rate equation fama regression variance approach st +1 journal slope coecient evidence coecient variation testing process premia state section level information matrix return speci cation cation hypothesis discount interest rate parity sample period time-varying risk premium estimation /pound information /dmark /ffranc period point matrix heteroscedasticity /cndollar expectation /sfranc covariance matrix literature risk premia hodrick state element explanation discount bias slope estimate exchange rates window score approximation window size swamy signi cantly dierent dierent discount bias puzzle kalman likelihood parameter constancy tests asterix paper deviation