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International Capital Markets and Foreign Exchange Risk · Study

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PreprintInternational Capital Markets and Foreign Exchange Risk

Michael John Brennan2004

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Preprintgreen2004

International Capital Markets and Foreign Exchange Risk

Michael John Brennan · Yihong Xia

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

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

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References

1985The equity premium: A puzzle 1984Forward and spot exchange rates 1995Time‐Varying World Market Integration 2002Term Premia and Interest Rate Forecasts in Affine Models 1987The Information in Long-Maturity Forward Rates 1991The World Price of Covariance Risk 1996The forward discount anomaly and the risk premium: A survey of recent evidence 1987Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage

Cited by

2014Asset Prices and Real Exchange Rates with Deep Habits 2008The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply 2010Countercyclical Currency Risk Premia 2005Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies 2007Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach 2010Macroeconomic Fundamentals and the Exchange Rate Dynamics: A No-Arbitrage Macro-Finance Approach

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2006International Capital Markets and Foreign Exchange Riskarticle · 16 shared references 2011Global Asset Pricingreview · 13 shared references 2006International Capital Asset Pricing: Evidence from Optionsarticle · 13 shared references 2005Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economiespreprint · 12 shared references 2001A multivariate GARCH in mean approach to testing uncovered interest parity: evidence from Asia-Pacific foreign exchange marketsarticle · 11 shared references 2014The International CAPM Reduxpreprint · 11 shared references

Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations42

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.641762

openalex_workW2063364489

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2016Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?