We extend the constant-elasticity regression that is the default choice when equities' exposure to currencies is estimated. In a proper real-option-style model for the exporters' equity exposure to the foreign exchange rate, we argue, the convexity of the relationship implies that the elasticity...

I propose a regression approach to recovering the return distribution of an individual asset conditional on the return of an aggregate index based on their marginal distributions. This approach relies on the identifying assumption that the conditional return distribution of the asset given the...