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International Correlation Risk · Study

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PreprintInternational Correlation Risk

Philippe Mueller2012

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Preprintgreen2012

International Correlation Risk

Philippe Mueller · Andreas Stathopoulos · Andrea Vedolin

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

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

2005The Model-Free Implied Volatility and Its Information Content 2012Carry Trades and Global Foreign Exchange Volatility 2009The Price of Correlation Risk: Evidence from Equity Options 2014Crash-neutral currency carry trades 2008Common Risk Factors in Currency Markets 2011Country Size, Currency Unions, and International Asset Returns 2012International Asset Pricing with Recursive Preferences 2012Execution Risk in High-Frequency Arbitrage

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Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations23

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.2049809

openalex_workW2149262497

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