unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk—in terms of the …

suggest that idiosyncratic risk is: higher at times of large return outcomes for the asset class as a whole; positively … autocorrelated; and correlated across different asset classes. The implications for risk management are discussed …

and then asses how they affect an emerging economy whose interest rate is affected by a world risk-free rate and a risk …

This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of …

Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities …. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount … literature. We provide evidence that non-linearities arise from hedging strategies of investors exposed to interest rate risk …

currency compositions in imports invoicing and short-term external debt, and risk and returns of reserve currencies can be …

portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules … optimal to sell many higher-risk assets when a shock to one asset occurs …