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Equilibrium asset prices and exchange rates
16 references·10 citing·41 second hop
Equilibrium asset prices and exchange rates (1995)Equilibrium asset prices and exchange rat…The Risk and Predictability of International Equity Returns (1993)The Risk and Predictability o…Industrial Structure and the Comparative Behavior of International Stock Market Indices (1992)Industrial Structure and the …The World Price of Covariance Risk (1991)The World Price of Covariance…Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period (1988)Was It Real? The Exchange Rat…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…The equity premium: A puzzle (1985)The equity premium: A puzzleAn Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…Interest rates and currency prices in a two-country world (1982)Interest rates and currency p…A model of international asset pricing (1981)A model of international asse…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…An equilibrium model of the international capital market (1974)An equilibrium model of the i…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)On Transforming a Certain Cla…CONTAGION ACROSS FINANCIAL MARKETS DURING COVID-19: A LOOK AT VOLATILITY SPILLOVERS BETWEEN THE STOCK AND FOREIGN EXCHANGE MARKETS IN SOUTH AFRICA (2022)CONTAGION ACROSS FINANCIAL MA…Risk-On/Risk-Off: Financial Market Response to Investor Fear (2016)Risk-On/Risk-Off: Financial M…Asset Prices and Real Exchange Rates with Deep Habits (2014)Asset Prices and Real Exchang…The dynamic relationship between exchange rates and stock returns in emerging countries: Volatility spillover and portfolio management (2012)The dynamic relationship betw…Volatility transmission and asymmetric linkages between the stock and foreign exchange markets (2011)Volatility transmission and a…Predictable Trade Flows and Returns of Trade-Linked Countries (2010)Predictable Trade Flows and R…Volatility Spillovers between Equity and Currency Markets: Eviderice from Major Latin American Countries (2008)Volatility Spillovers between…Equilibrium Portfolios and External Adjustment Under Incomplete Markets (2008)Equilibrium Portfolios and Ex…Commodity currencies and equity flows (2008)Commodity currencies and equi…Is exchange rate volatility influenced by stock return volatility? Evidence from the US, the UK and Japan (2002)Is exchange rate volatility i…The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)Immiserizing Growth: A Geometrical Note (1958)Theory of Value (1959)Trying to Explain Home Bias in Equities and Consumption (1999)The Economics of Exchange Rates (2003)Real-time price discovery in global stock, bond and foreign exchange markets (2007)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)A Note on Uncertainty and Indifference Curves (1969)Size, value, and momentum in international stock returns (2012)… and the Cross-Section of Expected Returns (2015)Does Option Compensation Increase Managerial Risk Appetite? (2000)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Brownian Motion and Stochastic Calculus (2007)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Common Risk Factors in Currency Markets (2011)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Economic Forces and the Stock Market (1986)An Intertemporal Capital Asset Pricing Model (1973)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)ARCH modeling in finance (1992)
this work references cited by second hop

References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
  • 1982Interest rates and currency prices in a two-country world1,256 cited
  • 1991The World Price of Covariance Risk1,139 cited
  • 1974An equilibrium model of the international capital market1,130 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 1993The Risk and Predictability of International Equity Returns1,065 cited
  • 1988Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period825 cited
  • 1981A model of international asset pricing807 cited
  • 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market797 cited
  • 1960On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures

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722 cited
  • 1992Industrial Structure and the Comparative Behavior of International Stock Market Indices662 cited
  • Cited by

    • 2014Asset Prices and Real Exchange Rates with Deep Habits79 cited
    • 2002Is exchange rate volatility influenced by stock return volatility? Evidence from the US, the UK and Japan47 cited
    • 2016Risk-On/Risk-Off: Financial Market Response to Investor Fear46 cited
    • 2008Equilibrium Portfolios and External Adjustment Under Incomplete Markets46 cited
    • 2008Volatility Spillovers between Equity and Currency Markets: Eviderice from Major Latin American Countries37 cited
    • 2011Volatility transmission and asymmetric linkages between the stock and foreign exchange markets35 cited
    • 2010Predictable Trade Flows and Returns of Trade-Linked Countries35 cited
    • 2008Commodity currencies and equity flows34 cited
    • 2022CONTAGION ACROSS FINANCIAL MARKETS DURING COVID-19: A LOOK AT VOLATILITY SPILLOVERS BETWEEN THE STOCK AND FOREIGN EXCHANGE MARKETS IN SOUTH AFRICA27 cited
    • 2012The dynamic relationship between exchange rates and stock returns in emerging countries: Volatility spillover and portfolio management25 cited