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International Capital Markets and Foreign Exchange Risk
16 references·10 citing·48 second hop
International Capital Markets and Foreign Exchange Risk (2004)International Capital Markets and Foreign…Spurious Regressions in Financial Economics? (2003)Spurious Regressions in Finan…The Message in Daily Exchange Rates (2002)The Message in Daily Exchange…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Affine Term Structure Models and the Forward Premium Anomaly (2001)Affine Term Structure Models …The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…The World Price of Foreign Exchange Risk (1995)The World Price of Foreign Ex…Predicting Volatility in the Foreign Exchange Market (1995)Predicting Volatility in the …The World Price of Covariance Risk (1991)The World Price of Covariance…The Message in Daily Exchange Rates: A Conditional-Variance Tale (1989)The Message in Daily Exchange…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)Commodity Futures Prices: Som…Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations (1985)Using Survey Data to Test Som…The equity premium: A puzzle (1985)The equity premium: A puzzleForward and spot exchange rates (1984)Forward and spot exchange rat…THE TAX‐ADJUSTED YIELD CURVE (1975)THE TAX‐ADJUSTED YIELD CURVEDoes Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates? (2016)Does Incomplete Spanning in I…Asset Prices and Real Exchange Rates with Deep Habits (2014)Asset Prices and Real Exchang…Properties of foreign exchange risk premiums (2012)Properties of foreign exchang…Crossing the Lines: The Conditional Relation between Exchange Rate Exposure and Stock Returns in Emerging and Developed Markets (2012)Crossing the Lines: The Condi…Crash Risk in Currency Returns (2012)Crash Risk in Currency ReturnsMacroeconomic Fundamentals and the Exchange Rate Dynamics: A No-Arbitrage Macro-Finance Approach (2010)Macroeconomic Fundamentals an…Countercyclical Currency Risk Premia (2010)Countercyclical Currency Risk…The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply (2008)The Cross-Section of Foreign …Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach (2007)Global Yield Curve Dynamics a…Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies (2005)Stochastic Risk Premiums, Sto…Trends and random walks in macroeconomic time series (1988)Business conditions and expected returns on stocks and bonds (1989)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Testing for a Unit Root in Time Series Regression (1988)Bivariate garch estimation of the optimal commodity futures Hedge (1991)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Modeling and Forecasting Realized Volatility (2001)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)The Risk and Predictability of International Equity Returns (1993)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Common Risk Factors in Currency Markets (2011)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Bond Risk Premia (2005)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)A Treatise on Money (1971)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)What do we learn from the price of crude oil futures? (2010)Financialization of Commodity Markets (2013)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Exchange Rates and Fundamentals (2005)Carry Trades and Currency Crashes (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)A New Approach to Measuring Financial Contagion (2000)International Liquidity and Exchange Rate Dynamics * (2015)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Foreign Speculators and Emerging Equity Markets (2000)International Asset Allocation With Regime Shifts (2002)Does financial liberalization spur growth? (2005)
this work references cited by second hop

References

  • 1985The equity premium: A puzzle5,785 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 1991The World Price of Covariance Risk1,139 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 1987Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage1,047 cited
  • 2002The Message in Daily Exchange Rates791 cited
  • 1995The World Price of Foreign Exchange Risk765 cited
  • 1985Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations738 cited
  • 1995Predicting Volatility in the Foreign Exchange Market723 cited
  • 1989The Message in Daily Exchange Rates: A Conditional-Variance Tale647 cited
  • 2001Affine Term Structure Models and the Forward Premium Anomaly594 cited
  • 2003Spurious Regressions in Financial Economics?574 cited
  • 1975THE TAX‐ADJUSTED YIELD CURVE

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548 cited

Cited by

  • 2014Asset Prices and Real Exchange Rates with Deep Habits79 cited
  • 2008The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply42 cited
  • 2010Countercyclical Currency Risk Premia38 cited
  • 2005Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies33 cited
  • 2007Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach31 cited
  • 2012Crash Risk in Currency Returns24 cited
  • 2012Properties of foreign exchange risk premiums20 cited
  • 2012Crossing the Lines: The Conditional Relation between Exchange Rate Exposure and Stock Returns in Emerging and Developed Markets20 cited
  • 2010Macroeconomic Fundamentals and the Exchange Rate Dynamics: A No-Arbitrage Macro-Finance Approach19 cited
  • 2016Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?17 cited