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Common risk factors in currency markets

Lustig, Hanno; Roussanov, Nikolai; Verdelhan, Adrien - In: The review of financial studies 24 (2011) 11, pp. 3731-3777

Persistent link: https://www.econbiz.de/10009381413

Estimating and hedging most probable extreme changes in multicurrency term structures

Dieudonné, Mathieu; Curtillet, Jean-Christophe - In: The journal of fixed income 15 (2005) 2, pp. 51-62

Persistent link: https://www.econbiz.de/10003229858

The role of exchange and interest risk in equity valuation : a comparative study of international stock markets

Prasad, Anita M. - In: Journal of economics & business 47 (1995) 5, pp. 457-472

Persistent link: https://www.econbiz.de/10001194525

A systematic approach to pricing and hedging of international derivatives with interest rate risk

Frey, Rüdiger - 1996 - Rev. version

Persistent link: https://www.econbiz.de/10000946123

Common Risk Factors in Currency Markets

Lustig, Hanno N. - 2010

We identify a 'slope' factor in exchange rates. High interest rate currencies load more on this slope factor than low interest rate currencies. As a result, this factor can account for most of the cross-sectional variation in average excess returns between high and low interest rate currencies....

Persistent link: https://www.econbiz.de/10012758797