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ArticleInternational correlation risk

Philippe Mueller2017

OA

Articlebronze2017

International correlation risk

Philippe Mueller · Andreas Stathopoulos · Andrea Vedolin

128 citations·0/0 files stored·Journal of Financial Economics

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1973Risk, Return, and Equilibrium: Empirical Tests 1984Forward and spot exchange rates 2009Expected Stock Returns and Variance Risk Premia 1992On the Estimation of Beta-Pricing Models 2011Common Risk Factors in Currency Markets 1983Foreign currency option values 2005The Model-Free Implied Volatility and Its Information Content 2000Option Prices, Implied Price Processes, and Stochastic Volatility

Cited by

2014Downside Market Risk of Carry Trades 2020Business cycles and currency returns 2019What drives Bitcoin’s price crash risk?2018Global Currency Hedging with Common Risk Factors 2018Global Political Risk and Currency Momentum 2008Measuring Equity Risk with Option-Implied Correlations 2020Model‐Free International Stochastic Discount Factors

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Year2017

Typearticle

Published2017-08-22

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations128

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jfineco.2016.09.012

openalex_workW2290497964

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2017Model-Free International Stochastic Discount Factors