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Transmission of policy shocks in a monetary asset-pricing model
Müller, Markus; Schittko, Ulrich - 1999
Persistent link: https://www.econbiz.de/10001549942
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Arbitrage asset pricing under exchange risk
Ikeda, Shinsuke - 1989
Persistent link: https://www.econbiz.de/10000778205
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Equilibrium exchange rate hedging
Black, Fischer - 1989
Persistent link: https://www.econbiz.de/10000766818
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Intertemporal risk-return trade-off in foreign exchange rates
Christiansen, Charlotte - In: Journal of international financial markets, … 21 (2011) 4, pp. 535-549
Persistent link: https://www.econbiz.de/10009309053
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Arbitrage asset pricing under exchange risk
Ikeda, Shinsuke - In: The journal of finance : the journal of the American … 46 (1991) 1, pp. 447-455
Persistent link: https://www.econbiz.de/10001106438
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Equilibrium exchange rate hedging
Black, Fischer - In: The journal of finance : the journal of the American … 45 (1990) 3, pp. 899-907
Persistent link: https://www.econbiz.de/10001090938
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A general equilibrium pricing model with speculation, quantity risk, price risk and foreign exchange risk
Mahajan, Arvind - In: The North American review of economics and finance : a … 2 (1991) 1, pp. 49-68
Persistent link: https://www.econbiz.de/10001117055
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Intertemporal Risk-Return Trade-Off in Foreign Exchange Rates
Christiansen, Charlotte - 2011
We investigate the intertemporal risk-return trade-off of foreign exchange (FX) rates for ten currencies quoted against … the USD. For each currency, we use three risk measures simultaneously that pertain to that currency; its realized … volatility, its realized skewness, and its value-at-risk. We apply monthly FX excess returns and risk measures calculated from …
Persistent link: https://www.econbiz.de/10013133578
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Intertemporal Risk-Return Trade-Off in Foreign Exchange Rates
Christiansen, Charlotte - 2017
We investigate the intertemporal risk-return trade-off of foreign exchange (FX) rates for ten currencies quoted against … the USD. For each currency, we use three risk measures simultaneously that pertain to that currency; its realized … volatility, its realized skewness, and its value-at-risk. We apply monthly FX excess returns and monthly FX risk measures …
Persistent link: https://www.econbiz.de/10012976547