Brooks, Robert D.; Di Iorio, Amalia; Faff, Robert W.; … - In: International Journal of Commerce and Management 20 (2010) 4, pp. 276-295
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...