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Asymmetric currency exposure of US bank stock returns
16 references·2 citing·30 second hop
Asymmetric currency exposure of US bank stock returns (2005)Asymmetric currency exposure of US bank s…The Use of Foreign Currency Derivatives and Firm Market Value (2001)The Use of Foreign Currency D…Exchange rate exposure, hedging, and the use of foreign currency derivatives (2001)Exchange rate exposure, hedgi…The Foreign Exchange Exposure of Japanese Multinational Corporations (1998)The Foreign Exchange Exposure…International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)International Asset Pricing a…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effect (1994)Firm Valuation, Earnings Expe…Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA (1993)Exchange rate exposure and in…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…ARCH modeling in finance (1992)ARCH modeling in financeThe Pricing of Exchange Rate Risk in the Stock Market (1991)The Pricing of Exchange Rate …The Exchange-Rate Exposure of U.S. Multinationals (1990)The Exchange-Rate Exposure of…Pricing to market in Japanese manufacturing (1990)Pricing to market in Japanese…Persistent Trade Effects of Large Exchange Rate Shocks (1989)Persistent Trade Effects of L…Hysteresis, Import Penetration, and Exchange Rate Pass-Through (1989)Hysteresis, Import Penetratio…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Exposure to Currency Risk: Definition and Measurement (1984)Exposure to Currency Risk: De…Understanding Brazilian companies' foreign exchange exposure (2012)Understanding Brazilian compa…Asymmetry and time variation in exchange rate exposure (2010)Asymmetry and time variation …The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Dynamic Conditional Correlation (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)PORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Volatility in Emerging Stock Markets (1999)A New Approach to Measuring Financial Contagion (2000)Emerging markets finance (2003)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)The Determinants of Firms' Hedging Policies (1985)Risk Management: Coordinating Corporate Investment and Financing Policies (1993)Do Firms Hedge in Response to Tax Incentives? (2002)How much do firms hedge with derivatives? (2003)The Nature of the Firm (1937)Determinants of corporate borrowing (1977)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)ADRs, Analysts, and Accuracy: Does Cross Listing in the United States Improve a Firm's Information Environment and Increase Market Value? (2003)Artificial intelligence and business models in the sustainable development goals perspective: A systematic literature review (2020)Modeling and Forecasting Realized Volatility (2003)A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)Entry and Exit Decisions under Uncertainty (1989)Irreversibility, Uncertainty, and Investment (1990)Markov-Perfect Industry Dynamics: A Framework for Empirical Work (1995)Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?Foreign Direct Investment, Exchange Rate Variability and Demand Uncertainty (1994)Economic Geography and Public Policy (2011)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1990The Exchange-Rate Exposure of U.S. Multinationals1,149 cited
  • 2001The Use of Foreign Currency Derivatives and Firm Market Value1,060 cited
  • 2001Exchange rate exposure, hedging, and the use of foreign currency derivatives948 cited
  • 1989Persistent Trade Effects of Large Exchange Rate Shocks934 cited
  • 1989Hysteresis, Import Penetration, and Exchange Rate Pass-Through870 cited
  • 1997International Asset Pricing and Portfolio Diversification with Time-Varying Risk812 cited
  • 1984Exposure to Currency Risk: Definition and Measurement792 cited
  • 1994Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effect751 cited
  • 1993Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA672 cited
  • 1991The Pricing of Exchange Rate Risk in the Stock Market613 cited
  • 1998The Foreign Exchange Exposure of Japanese Multinational Corporations

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603 cited
  • 1990Pricing to market in Japanese manufacturing594 cited
  • Cited by

    • 2010Asymmetry and time variation in exchange rate exposure22 cited
    • 2012Understanding Brazilian companies' foreign exchange exposure14 cited