Currency returns and downside risk : Debt, volatility, and the gap from benchmark values
Nevin Cavusoglu, Michael D. Goldberg, Josh Stillwagon
| Year of publication: |
2021
|
|---|---|
| Authors: | Cavusoglu, Nevin ; Goldberg, Michael D. ; Stillwagon, Josh |
| Published in: |
Journal of macroeconomics. - Amsterdam [u.a.] : Elsevier, ISSN 0164-0704, ZDB-ID 796245-9. - Vol. 68.2021, p. 1-23
|
| Subject: | International CAPM | Prospect theory | Risk premium | Cointegrated VAR | Survey expectations | Downside risk | Risikoprämie | Volatilität | Volatility | CAPM | Portfolio-Management | Portfolio selection | Prospect Theory | Risikomaß | Risk measure | Währungsrisiko | Exchange rate risk | Erwartungsbildung | Expectation formation | VAR-Modell | VAR model | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jmacro.2021.103304 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012630994