Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
The present study investigates possible existence of time varying risk premia in Brazilian real, Chinese yuan; Cypriot pound, Danish krone, Eurozone euro, French franc, Indian rupee, Japanese yen, Pakistani rupee, and British pound forward foreign exchange rates against US dollar. Exchange rates in these series are modeled using non-Gaussian state space models that encompass non-normality and GARCH-like affects.