\(r^{*}_{f,t+1}+\widehat {E_{t}\left [\triangle e_{t+1}\right ]}-r_{f,t+1}\) | All | T<1999 | T≥1999 | ||||
---|---|---|---|---|---|---|---|
\( + \frac {1}{2} \widetilde {Var_{t}} \left (\triangle e_{t+1} \right)\) | USD Index | CHF Index | EUR/CHF | CHF Index | EUR/CHF | CHF Index | EUR/CHF |
\(\widetilde {Cov_{t}} \left (r_{t+1}^{\omega }, \triangle e_{t+1} \right)\) | 238.052* | −69.980 | −111.617 | −82.002 | −55.257 | −434.596* | −33.416 |
 | [155.262] | [103.549] | [110.291] | [112.052] | [108.330] | [290.049] | [88.693] |
\(\widetilde {Cov_{t}} \left (r_{t+1}^{\omega }, \triangle e_{t+1} \right)*{dp}_{t}\) | 58.169* | −12.174 | −25.785 | −23.436 | −14.114 | −123.582* | −8.220 |
 | [37.989] | [23.571] | [24.536] | [26.110] | [23.680] | [79.216] | [23.181] |
\(\widetilde {Cov_{t}} \left (r_{t+1}^{\omega }, \triangle e_{t+1} \right)*d.{ys}_{t}\) | −1245.245 | −1533.296 | −2908.650* | 1235.988 | 3613.389** | −6344.461* | −832.865 |
 | [1677.153] | [3471.034] | [2199.215] | [1388.052] | [1660.386] | [4052.069] | [905.723] |
\(\widetilde {Cov_{t}} \left (r_{t+1}^{\omega }, \triangle e_{t+1} \right)*d.r_{f,t}\) | −1727.834* | −4939.896* | −2991.115 | −2342.645 | 5548.407*** | −4157.170 | 94.303 |
 | [1283.600] | [3510.700] | [3678.825] | [2073.427] | [1957.128] | [3612.278] | [967.194] |
\(\widetilde {Cov_{t}} \left (r_{t+1}^{\omega }, \triangle e_{t+1} \right)* baa\mathrm {\_}{aaa}_{t}\) | −1776.649* | 866.314 | 698.838 | −2345.300 | 784.905 | −382.272 | 202.512 |
 | [1188.008] | [2014.862] | [1490.346] | [2138.844] | [2459.814] | [1902.112] | [556.533] |
Cons | 0.001 | 0.002 | −0.000 | 0.002*** | 0.002*** | −0.008** | −0.001 |
 | [0.001] | [0.002] | [0.001] | [0.001] | [0.001] | [0.004] | [0.001] |
J-statistic | 1.142 | 4.532 | 3.373 | 4.474 | 2.480 | 3.932 | 5.919 |
p value (J-stat.) | 0.767 | 0.209 | 0.338 | 0.215 | 0.479 | 0.269 | 0.116 |
χ2-statistic | 5.194 | 4.624 | 7.656 | 9.964 | 15.077 | 2.881 | 5.603 |
p value (χ2-stat.) | 0.268 | 0.328 | 0.105 | 0.041 | 0.005 | 0.578 | 0.231 |