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~institution:"C.E.P.R. Discussion Papers"
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C.E.P.R. Discussion Papers
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Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
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Conditional Risk Premia in Currency Markets and Other Asset Classes
Lettau, Martin
;
Maggiori, Matteo
;
Weber, Michael
-
C.E.P.R. Discussion Papers
-
2013
The
downside
risk
CAPM (DR-CAPM) can price the cross section of currency returns. The market-beta differential between …
Persistent link: https://www.econbiz.de/10011083756
Saved in:
2
Increased Correlation in Bear markets: A
Downside
Risk
Perspective
Campbell, Rachel
;
Koedijk, Kees
;
Kofman, Paul
-
C.E.P.R. Discussion Papers
-
2002
implied correlation based on portfolio
downside
risk
measures that does not suffer from this bias. These unbiased quantile …
Persistent link: https://www.econbiz.de/10005124110
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