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Measuring the Euro Exchange Rate Risk Premium: The Conditional International CAPM Approach · Study

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PreprintMeasuring the Euro Exchange Rate Risk Premium: The Conditional International CAPM Approach

Lorenzo Cappiello2003

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Preprintgreen2003

Measuring the Euro Exchange Rate Risk Premium: The Conditional International CAPM Approach

Lorenzo Cappiello · Jarkko P. P. Jääskelä

25 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1973An Intertemporal Capital Asset Pricing Model 1995Multivariate Simultaneous Generalized ARCH 1985Stock Returns and the Term Structure 1995Time‐Varying World Market Integration 1983International Portfolio Choice and Corporation Finance: A Synthesis 1991The World Price of Covariance Risk 1996The forward discount anomaly and the risk premium: A survey of recent evidence

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2010Traditional view or revisionist view? The effects of monetary policy on exchange rates in Asia

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2006Market integration and currency risk in Asian emerging marketsarticle · 10 shared references 2004International Capital Markets and Foreign Exchange Riskpreprint · 9 shared references 2001The Effects of Liberalization on Market and Currency Risk in the European Unionpreprint · 9 shared references 1998How big is the premium for currency risk?1We thank Geert Bekaert, Tim Bollerslev, Peter Bossaerts, Mark Carhart, John Cochrane, Magnus Dahlquist, Wayne Ferson, Linda Goldberg, Campbell Harvey, Pierre Hillion, Robert Hodrick (the referee), Olivier Ledoit, John Matsusaka, Hans Mikkelsen, Angel Serrat and Ivo Welch, as well as workshop participants at INSEAD, University of California at Los Angeles, University of Southern California, University of Rochester, Southern Methodist University, University of California – Irvine, Koc University and participants at the 1996 UBC Global Investment Conference (Whistler, BC), 1996 Western Finance Association meetings (Sunriver, OR), 1996 European Finance Association meetings (Oslo, Norway), 1996 NBER Asset Pricing meeting (Evanston, IL), and the 1997 Econometric Society winter meetings (New Orleans, LA) for their comments. The paper was written while the second author was visiting the Anderson School at UCLA. Both authors acknowledge the financial support of a CIBEAR grant.1article · 8 shared references 2003Mexico's integration into the North American capital marketarticle · 8 shared references 2007International asset pricing under segmentation and PPP deviationsarticle · 8 shared references

Details

Year2003

Typepreprint

Published2003-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations25

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.391986

openalex_workW1639328019

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