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International correlation risk
16 references·16 citing·38 second hopsampled
International correlation risk (2017)International correlation riskCrash-neutral currency carry trades (2014)Crash-neutral currency carry …Noise as Information for Illiquidity (2013)Noise as Information for Illi…Countercyclical currency risk premia (2013)Countercyclical currency risk…Carry Trades and Global Foreign Exchange Volatility (2012)Carry Trades and Global Forei…Common Risk Factors in Currency Markets (2011)Common Risk Factors in Curren…The Price of Correlation Risk: Evidence from Equity Options (2009)The Price of Correlation Risk…Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…Country Size, Currency Unions, and International Asset Returns (2009)Country Size, Currency Unions…A No‐Arbitrage Approach to Range‐Based Estimation of Return Covariances and Correlations* (2006)A No‐Arbitrage Approach to Ra…The Model-Free Implied Volatility and Its Information Content (2005)The Model-Free Implied Volati…Option Prices, Implied Price Processes, and Stochastic Volatility (2000)Option Prices, Implied Price …A Guide to Volatility and Variance Swaps (1999)A Guide to Volatility and Var…On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…Forward and spot exchange rates (1984)Forward and spot exchange rat…Foreign currency option values (1983)Foreign currency option valuesRisk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Pricing ethics in the foreign exchange market: Environmental, Social and Governance ratings and currency premia (2021)Pricing ethics in the foreign…Lessons from Estimating the Average Option-implied Volatility Term Structure for the Spanish Banking Sector (2021)Lessons from Estimating the A…Government policy approval and exchange rates (2021)Government policy approval an…Model‐Free International Stochastic Discount Factors (2020)Model‐Free International Stoc…Business cycles and currency returns (2020)Business cycles and currency …What drives Bitcoin’s price crash risk? (2019)What drives Bitcoin’s price c…International R&D spillovers and asset prices (2019)International R&D spillovers …The Term Structures of Coentropy in International Financial Markets (2018)The Term Structures of Coentr…Global Political Risk and Currency Momentum (2018)Global Political Risk and Cur…Global Currency Hedging with Common Risk Factors (2018)Global Currency Hedging with …Asymmetric Volatility Risk: Evidence from Option Markets (2018)Asymmetric Volatility Risk: E…Model-Free International Stochastic Discount Factors (2017)Model-Free International Stoc…The European sovereign debt crisis: What have we learned? (2016)The European sovereign debt c…Pricing Risks Across Currency Denominations (2015)Pricing Risks Across Currency…Downside Market Risk of Carry Trades (2014)Downside Market Risk of Carry…Measuring Equity Risk with Option-Implied Correlations (2008)Measuring Equity Risk with Op…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)Theory of Rational Option Pricing (1973)Efficient Analytic Approximation of American Option Values (1987)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)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)The Pricing of Options on Assets with Stochastic Volatilities (1987)The VIX, the variance premium and stock market volatility (2014)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)On Persistence in Mutual Fund Performance (1997)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)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Bond Risk Premia (2005)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)How Sovereign Is Sovereign Credit Risk? (2011)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Behavioral Corporate Finance: An Updated Survey (2013)The risk premia embedded in index options (2015)When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response (2020)A Theory of the Term Structure of Interest Rates (1985)Climate risks and market efficiency (2018)Risks and Returns of Cryptocurrency (2020)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 2011Common Risk Factors in Currency Markets1,079 cited
  • 1983Foreign currency option values1,078 cited
  • 2005The Model-Free Implied Volatility and Its Information Content1,012 cited
  • 2000Option Prices, Implied Price Processes, and Stochastic Volatility937 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited
  • 2013Noise as Information for Illiquidity475 cited
  • 1999A Guide to Volatility and Variance Swaps439 cited
  • 2009The Price of Correlation Risk: Evidence from Equity Options424 cited
  • 2013Countercyclical currency risk premia360 cited
  • 2014Crash-neutral currency carry trades319 cited
  • 2006A No‐Arbitrage Approach to Range‐Based Estimation of Return Covariances and Correlations*199 cited
  • 2009Country Size, Currency Unions, and International Asset Returns

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  • 2014Downside Market Risk of Carry Trades119 cited
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  • 2018Global Currency Hedging with Common Risk Factors74 cited
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  • 2008Measuring Equity Risk with Option-Implied Correlations63 cited
  • 2020Model‐Free International Stochastic Discount Factors55 cited
  • 2017Model-Free International Stochastic Discount Factors35 cited
  • 2021Government policy approval and exchange rates32 cited
  • 2021Pricing ethics in the foreign exchange market: Environmental, Social and Governance ratings and currency premia30 cited
  • 2018Asymmetric Volatility Risk: Evidence from Option Markets29 cited
  • 2015Pricing Risks Across Currency Denominations27 cited
  • 2016The European sovereign debt crisis: What have we learned?27 cited
  • 2018The Term Structures of Coentropy in International Financial Markets26 cited
  • 2021Lessons from Estimating the Average Option-implied Volatility Term Structure for the Spanish Banking Sector26 cited
  • 2019International R&D spillovers and asset prices25 cited