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International Correlation Risk
10 references·0 citing·53 second hopsampled
International Correlation Risk (2012)International Correlation RiskCrash-neutral currency carry trades (2014)Crash-neutral currency carry …International Asset Pricing with Recursive Preferences (2012)International Asset Pricing w…Execution Risk in High-Frequency Arbitrage (2012)Execution Risk in High-Freque…Carry Trades and Global Foreign Exchange Volatility (2012)Carry Trades and Global Forei…Country Size, Currency Unions, and International Asset Returns (2011)Country Size, Currency Unions…Noise as Information for Illiquidity (2010)Noise as Information for Illi…The Price of Correlation Risk: Evidence from Equity Options (2009)The Price of Correlation Risk…Common Risk Factors in Currency Markets (2008)Common Risk Factors in Curren…The Model-Free Implied Volatility and Its Information Content (2005)The Model-Free Implied Volati…A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations (2005)A No-Arbitrage Approach to Ra…The Pricing of Options and Corporate Liabilities (1973)Specification Tests in Econometrics (1978)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)What's Vol Got to Do with It (2010)Tails, Fears, and Risk Premia (2011)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Currency momentum strategies (2012)Conditional risk premia in currency markets and other asset classes (2014)Intermediary asset pricing: New evidence from many asset classes (2017)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The external wealth of nations mark II: Revised and extended estimates of foreign assets and liabilities, 1970–2004 (2007)Asset Prices and Risk Sharing in Open Economies (2011)Commodity Trade and the Carry Trade: A Tale of Two Countries (2012)Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory (2012)International Portfolio Choice and Corporation Finance: A Synthesis (1983)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)On the Estimation of Beta-Pricing Models (1992)Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums (2009)Differences in beliefs and currency risk premiums☆ (2010)Global Asset Pricing (2011)Numerical Methods in Economics (1998)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Asset Prices and Real Exchange Rates with Deep Habits (2014)Currency Risk Factors in a Recursive Multi-Country Economy (2014)The Cross-Section of Expected Stock Returns (1992)The Limits of Arbitrage (1995)Market Liquidity -- Theory and Empirical Evidence (2012)Flight-to-Liquidity Flows in the Euro Area Sovereign Debt Crisis (2014)On Bank Credit Risk: Systemic or Bank-Specific? Evidence from the US and UK (2014)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Modeling and Forecasting Realized Volatility (2003)On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models (2009)Stochastic Volatility (2009)An Empirical Analysis of Futures Margin Changes: Determinants and Policy Implications (2015)Common risk factors in the returns on stocks and bonds (1993)Cross-section of option returns and volatility☆ (2009)A Macroeconomic Model with a Financial Sector (2012)Stock Options as Lotteries (2014)The Regulation of Queue Size by Levying Tolls (1969)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Does Algorithmic Trading Improve Liquidity? (2011)The Regulatory, Technology and Market ‘Dark Arts Trilogy’ of High Frequency Trading: A Research Agenda (2016)Interactions among High-Frequency Traders (2017)High‐frequency trading: Definition, implications, and controversies (2021)Theory of Value (1959)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Crises and Recoveries in an Empirical Model of Consumption Disasters (2013)Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums (2013)The Share of Systematic Variation in Bilateral Exchange Rates (2017)
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References

  • 2005The Model-Free Implied Volatility and Its Information Content1,012 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited
  • 2009The Price of Correlation Risk: Evidence from Equity Options424 cited
  • 2014Crash-neutral currency carry trades319 cited
  • 2008Common Risk Factors in Currency Markets128 cited
  • 2011Country Size, Currency Unions, and International Asset Returns94 cited
  • 2012International Asset Pricing with Recursive Preferences93 cited
  • 2012Execution Risk in High-Frequency Arbitrage73 cited
  • 2010Noise as Information for Illiquidity72 cited
  • 2005A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations50 cited

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