We deal with the valuration and hedging of non path-dependent European options on one or several underlyings in a model of an international economy which allows for both interest rate and exchange rate risk. Using martingale theory we provide a unified and easily applicable approach to pricing...

This paper tests a conditional version of Adler and Dumas' (1983) International CAPM with regime switching GARCH parameters.

This paper studies the impact of EMU on portfolio diversification opportunities.

This paper identifies low frequency movements in the time series of return dispersions suggestive of cycles and long swings in return correlations.

The question that this paper raise in this paper is how to choose the best mix of countries to diversify internationally? They compare several methods of asset allocation from a Swiss perspective over the period 1988-2001.

This paper deals with the impact of the arrival of public information on the intraday trading of highly liquid stocks quoted on the Paris Bourse.

This paper invesitigates the influence of various fundamental variables on a cross-section of credit default swap transaction data.

This paper investigates the relative performance of local and foreign financial analysts on Latin American emerging markets.

This paper deals with the country allocation provides benefits over industry allocation in a sample of European country and industry indexes.

This paper examines the determinants of stock returns in a small open economy using an APT framework. The analysis is conducted for the Swiss stock market which has the particularity of including a large proportion of firms that are exposed to foreign economic conditions.