SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A Credit-Based Theory of the Currency Risk Premium
16 references·0 citing·49 second hop
A Credit-Based Theory of the Currency Risk Premium (2019)A Credit-Based Theory of the Currency Ris…What is the Expected Return on the Market?* (2016)What is the Expected Return o…Carry Trades and Global Foreign Exchange Volatility (2012)Carry Trades and Global Forei…How Sovereign Is Sovereign Credit Risk? (2011)How Sovereign Is Sovereign Cr…Common Risk Factors in Currency Markets (2011)Common Risk Factors in Curren…Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…Stock Return Predictability: Is it There? (2006)Stock Return Predictability: …Exchange Rates and Fundamentals (2005)Exchange Rates and Fundamenta…The Economic Value of Volatility Timing (2001)The Economic Value of Volatil…Option Prices, Implied Price Processes, and Stochastic Volatility (2000)Option Prices, Implied Price …Risk-Adjusted Performance (1997)Risk-Adjusted PerformanceExchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Forward and spot exchange rates (1984)Forward and spot exchange rat…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Portfolio Performance Manipulation and Manipulation-proof Performance MeasuresPortfolio Performance Manipul…Expectations and Exchange Rate Dynamics (1976)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Comparing Predictive Accuracy (1994)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)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 and Corporate Liabilities (1973)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Model-Free Implied Volatility and Its Information Content (2005)Tails, Fears, and Risk Premia (2011)The VIX, the variance premium and stock market volatility (2014)Asset Prices in an Exchange Economy (1978)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Debt with Potential Repudiation: Theoretical and Empirical Analysis (1981)Modeling Term Structures of Defaultable Bonds (1999)Market Liquidity and Funding Liquidity (2008)Evaporating Liquidity (2012)International Channels of Transmission of Monetary Policy and the Mundellian Trilemma (2016)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)The Science of Monetary Policy: A New Keynesian Perspective (1999)The Dog That Did Not Bark: A Defense of Return Predictability (2007)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)Risk, Return, and Equilibrium: Empirical Tests (1973)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)Climate risks and market efficiency (2018)Risks and Returns of Cryptocurrency (2020)
this work references cited by second hop

References

  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 2006Stock Return Predictability: Is it There?1,295 cited
  • 2011How Sovereign Is Sovereign Credit Risk?1,129 cited
  • 2011Common Risk Factors in Currency Markets1,079 cited
  • 1995Exchange rates and fundamentals: Evidence on long-horizon predictability1,044 cited
  • 2000Option Prices, Implied Price Processes, and Stochastic Volatility937 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited
  • 2001The Economic Value of Volatility Timing848 cited
  • 2005Exchange Rates and Fundamentals808 cited
  • n.d.Portfolio Performance Manipulation and Manipulation-proof Performance Measures644 cited
  • 1997Risk-Adjusted Performance581 cited
  • 2016

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

What is the Expected Return on the Market?*
540 cited

Cited by

No citing works inside the corpus for this window.