How big is the premium for currency risk? 1 We thank Geert Bekaert, Tim Bollerslev, Peter Bossaerts,

  title={How big is the premium for currency risk? 1 We thank Geert Bekaert, Tim Bollerslev, Peter Bossaerts,},
  author={Giorgio De Santis and Bruno Gerard},
  journal={Journal of Financial Economics},
Abstract We estimate and test the conditional version of an International Capital Asset Pricing Model using a parsimonious multivariate GARCH process. Since our approach is fully parametric, we can recover any quantity that is a function of the first two conditional moments. Our findings strongly support a model which includes both market and foreign exchange risk. However, both sources of risk are only detected when their prices are allowed to change over time. The evidence also indicates that… Expand
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