Purpose – The purpose of this paper is to provide some insights into the exchange rate exposure of Australian stock returns. Design/methodology/approach – Using a dynamic econometric approach that allows for both asymmetry and time‐varying risk exposures in both the exchange rate variable...

Purpose – Whether stock returns are linked to exchange rate changes and whether foreign exchange risk is priced in a domestic context are less conclusive and thus still subject to a great debate. The purpose of this paper is to provide new empirical evidence on these two inter-related issues,...

Purpose – The purpose of this paper is to explore risk management models applied to electric power markets. Several Value-at-Risk (VaR) models are applied to day-ahead forward contract electric power price data to see which, if any, could be best used in practice. Design/methodology/approach...

Purpose – Whether stock returns are linked to exchange rate changes and whether foreign exchange risk is priced in a domestic context are less conclusive and thus still subject to a great debate. The purpose of this paper is to provide new empirical evidence on these two inter‐related...

Purpose – In this paper, the aim is to investigate the tail behavior of daily stock returns for three emerging stock in the Gulf region (Bahrain, Oman, and Saudi Arabia) over the period 1998-2005. In addition, the aim is also to test whether the distributions are similar across these markets....

Purpose – In this paper, the aim is to investigate the tail behavior of daily stock returns for three emerging stock in the Gulf region (Bahrain, Oman, and Saudi Arabia) over the period 1998‐2005. In addition, the aim is also to test whether the distributions are similar across these...

Purpose - This study seeks to investigate the sensitivity of stock returns at the industry level to market, exchange rate and interest rate shocks in the four major European economies: France, Germany, Italy, and the UK. Design/methodology/approach -The paper utilises the methodology of Campbell...

Purpose – This study seeks to investigate the sensitivity of stock returns at the industry level to market, exchange rate and interest rate shocks in the four major European economies: France, Germany, Italy, and the UK. Design/methodology/approach – The paper utilises the methodology of...