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Looking for risk premium and contagion in Asia-Pacific foreign exchange markets

  • Tai, Chu-Sheng
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    File URL: http://www.sciencedirect.com/science/article/B6W4W-4C47P82-1/2/5f38aeadf956d28890712b3800b221b0
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    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 13 (2004)
    Issue (Month): 4 ()
    Pages: 381-409

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    Handle: RePEc:eee:finana:v:13:y:2004:i:4:p:381-409
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620166

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    20. Carmen M. Reinhart & Sara Calvo, 1996. "Capital Flows to Latin America: Is There Evidence of Contagion Effects?," Peterson Institute Press: Chapters, in: Guillermo A. Calvo & Morris Goldstein & Eduard Hochreiter (ed.), Private Capital Flows to Emerging Markets After the Mexican Crisis, pages 151-171 Peterson Institute for International Economics.
    21. Tai, Chu-Sheng, 2001. "A multivariate GARCH in mean approach to testing uncovered interest parity: evidence from Asia-Pacific foreign exchange markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(4), pages 441-460.
    22. Alberto Giovannini & Philippe Jorion, 1988. "The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets," NBER Working Papers 2573, National Bureau of Economic Research, Inc.
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    27. Tai, Chu-Sheng, 2000. "Time-varying market, interest rate, and exchange rate risk premia in the US commercial bank stock returns," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 397-420, December.
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    37. Tai, Chu-Sheng, 1999. "Time-varying risk premia in foreign exchange and equity markets: evidence from Asia-Pacific countries," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 291-316, November.
    38. Harvey, Campbell R, 1991. " The World Price of Covariance Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 111-57, March.
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