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| Jing Li |
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| ''On Estimating Risk Premium With Flexible Fourier Form'' |
| ( 2021, Vol. 41 No.3 ) |
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| This paper proposes a semi-parametric estimate of risk premium using the Flexible Fourier From with a small number of low-frequency components. We provide an application to the forecast error decomposition based on the uncovered interest rate parity (UIP). Limited support is found for the omitted-variable explanation of the UIP puzzle. |
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| Keywords: Flexible Fourier Form, Risk Premium, UIP Puzzle |
JEL: C4 - Econometric and Statistical Methods: Special Topics
F3 - International Finance: General |
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| Manuscript Received : Mar 04 2020 | | Manuscript Accepted : Jul 18 2021 |
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