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Emerging markets and portfolio foreign exchange risk: An empirical investigation using a value-at-risk decomposition technique
16 references·1 citing·45 second hop
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,598 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,494 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 1974Why Not Diversify Internationally Rather Than Domestically?899 cited
  • 2005Exchange Rates, Equity Prices, and Capital Flows622 cited
  • 2005Measuring Market Risk489 cited
  • 2005From World Banker to World Venture Capitalist: US External Adjustment and the Exorbitant Privilege473 cited
  • 2005The essentials of risk management350 cited
  • 2007Home bias in global bond and equity markets: The role of real exchange rate volatility333 cited
  • 2004Can Inflation Targeting Work in Emerging Market Countries?305 cited
  • n.d.G7 Current Account Imbalances: Sustainability and Adjustment298 cited
  • 1993Strategic Risk Taking: A Framework for Risk Management254 cited

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1975
EXCHANGE RATE CHANGES, INFLATION, AND THE VALUE OF THE MULTINATIONAL CORPORATION
253 cited

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  • 2014Conditional Pricing of Currency Risk in Africa's Equity Markets17 cited