Zhixin Li

University of Toronto - Department of Economics

150 St. George Street

Toronto, Ontario M5S 3G7

Canada

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Are Forward Premia Mean Reverting?

Applied Finacial Economics, Vol. 10, pp. 343-350, 2000
Posted: 13 Jun 2001
Walid Hejazi and Zhixin Li
University of Toronto - Rotman School of Management and University of Toronto - Department of Economics

Abstract:

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Time-varying term premia, mean reversion, GARCH-M