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Inflation risk and international asset returns · Study

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ArticleInflation risk and international asset returns

Gerard A. Moerman2009

OA

Articlegreen2009

Inflation risk and international asset returns

Gerard A. Moerman · Mathijs A. van Dijk

60 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1986Economic Forces and the Stock Market 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1996The Purchasing Power Parity Puzzle 1977Asset returns and inflation 1991The Variation of Economic Risk Premiums 1998Modeling Asymmetric Comovements of Asset Returns 2000Asymmetric Volatility and Risk in Equity Markets

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2013Portfolio management with stochastic interest rates and inflation ambiguity 2006Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics

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Year2009

Typearticle

Published2009-09-26

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations60

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jbankfin.2009.09.014

openalex_workW2600166299

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