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Term, Inflation, and Foreign Exchange Risk Premia: A Unified Treatment
16 references·0 citing·48 second hop
Term, Inflation, and Foreign Exchange Risk Premia: A Unified Treatment (1993)Term, Inflation, and Foreign Exchange Ris…The foreign exchange risk premium in a target zone with devaluation risk (1992)The foreign exchange risk pre…On the foreign exchange risk premium in a general equilibrium model (1992)On the foreign exchange risk …Asset Pricing Explorations for Macroeconomics (1992)Asset Pricing Explorations fo…Asset Pricing Explorations for Macroeconomics (1992)Asset Pricing Explorations fo…The Real Thing: A Dynamic Profile of The Term Structure of Real Interest Rates and Inflation Expectations in The United Kingdom, 1982-89 (1990)The Real Thing: A Dynamic Pro…Asset Prices under Habit Formation and Catching up with the Joneses (1990)Asset Prices under Habit Form…Time-varying conditional covariances in tests of asset pricing models (1989)Time-varying conditional cova…The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets. (1989)The Empirical Evidence on the…Targets, Indicators, and Instruments of Monetary Policy (1989)Targets, Indicators, and Inst…The Term Structure of Interest Rates (1987)The Term Structure of Interes…Currency Preferences, Purchasing Power Risks, and the Determination of Exchange Rates in an Optimizing Model (1984)Currency Preferences, Purchas…Real and Nominal Interest Rates under Uncertainty: The Fisher Theorem and the Term Structure (1983)Real and Nominal Interest Rat…International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)A Re-Examination of Tradition…A model of international asset pricing (1981)A model of international asse…Money, bonds and foreign exchange (1979)Money, bonds and foreign exch…An Intertemporal Capital Asset Pricing Model (1973)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model (1993)Valuation of the early-exercise price for options using simulations and nonparametric regression (1996)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The arbitrage theory of capital asset pricing (1976)A Monetary Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles (1996)The 6D Bias and the Equity-Premium Puzzle (2001)The Equity Premium in Retrospect (2003)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Time‐Varying World Market Integration (1995)Value versus Growth: The International Evidence (1998)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)The cost of capital, corporation finance and the theory of investment (2008)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Interest rates and currency prices in a two-country world (1982)Exchange rate volatility and deviations from unbiasedness in a cash-in-advance model (1994)The implications of first-order risk aversion for asset market risk premiums (1997)Optimum consumption and portfolio rules in a continuous-time model (1971)Are Government Bonds Net Wealth? (1974)Empirical Tests of the Consumption‐Oriented CAPM (1989)The World Price of Foreign Exchange Risk (1995)International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)Target Zones and Exchange Rate Dynamics (1991)Assessing target zone credibility (1993)Devaluation Expectations: The Swedish Krona 1985-92 (1993)Why exchange rate bands? (1994)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditioning Variables and the Cross Section of Stock Returns (1999)Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)The General Theory of Employment (1937)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Short Rates and Expected Asset Returns (1990)Modelling the Yield Curve (1991)Long-term covered interest parity: evidence from currency swaps (1993)Investor Psychology and Asset Pricing (2001)Prospect Theory and Asset Prices (2001)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Risk, Uncertainty, and Asset Prices (2005)Inflation ambiguity and the term structure of U.S. Government bonds (2012)Parameter Learning in General Equilibrium: The Asset Pricing Implications (2012)
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References

  • 1990Asset Prices under Habit Formation and Catching up with the Joneses2,021 cited
  • 1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
  • 1989Time-varying conditional covariances in tests of asset pricing models851 cited
  • 1981A model of international asset pricing807 cited
  • 1981A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates588 cited
  • 1992Asset Pricing Explorations for Macroeconomics262 cited
  • 1992The foreign exchange risk premium in a target zone with devaluation risk112 cited
  • 1992Asset Pricing Explorations for Macroeconomics109 cited
  • 1987The Term Structure of Interest Rates108 cited
  • 1992On the foreign exchange risk premium in a general equilibrium model96 cited
  • 1979Money, bonds and foreign exchange91 cited
  • 1983Real and Nominal Interest Rates under Uncertainty: The Fisher Theorem and the Term Structure88 cited
  • 1989Targets, Indicators, and Instruments of Monetary Policy82 cited
  • 1984Currency Preferences, Purchasing Power Risks, and the Determination of Exchange Rates in an Optimizing Model67 cited
  • 1990The Real Thing: A Dynamic Profile of The Term Structure of Real Interest Rates and Inflation Expectations in The United Kingdom, 1982-89

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52 cited
  • 1989The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets.39 cited
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