Analysis of Risk Premium Behavior in the Tunisian Foreign Exchange Market During Crisis Period
In this paper, we empirically examine time-varying risk premia in the Tunisian foreign exchange market ORTHO-IRON by applying GARCH-M modeling to the TND/Euro and TND/USD parities for 1 to 12 months forecasting horizons.Our ultimate objective is to help better manage the parities and to help provide stability to a foreign exchange market where EMH