Exploration of the Foreign Exchange Forward Premiums and the Spot Exchange Return: A Multivariate Approach
This paper empirically examines the interdependence between the foreign exchange forward premiums and the spot exchange return through a Multivariate GARCH type framework.The purpose of this study is to test the correlation sensitivity to shocks and the to capture the dynamic links between the EUR/USD 1,3, 6, 9 and 12-month forward premiums and the