TY  - BOOK
AU  - Arouri,Mohamed El Hédi
TI  - Risk Premium in an International Framework: Is the Exchange Rate Risk Priced?
PY  - 2006///.
							
N1  - 9
N2  - In this article, we investigate whether exchange rate risk is priced. We use a multivariate GARCH-in-Mean specification and test alternative conditional international CAPM versions. Our results support strongly the international asset-pricing model that includes exchange rate risk for both developed and emerging stock markets. However, there are important time and cross-country variations in the relative size and dynamics of different risk premia
UR  - https://shs.cairn.info/journal-finance-2006-1-page-131?lang=en
ER  -