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Exchange rates and international financial assets: A special issue in honor of Stanley W. Black

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  • Cushman, David O.
  • Breuer, Janice Boucher

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  • Cushman, David O. & Breuer, Janice Boucher, 2007. "Exchange rates and international financial assets: A special issue in honor of Stanley W. Black," Review of Financial Economics, Elsevier, vol. 16(3), pages 231-234.
  • Handle: RePEc:eee:revfin:v:16:y:2007:i:3:p:231-234
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    References listed on IDEAS

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    1. Jun Liu & Francis A. Longstaff & Ravit E. Mandell, 2006. "The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2337-2360, September.
    2. Mark Grinblatt, 2001. "An Analytic Solution for Interest Rate Swap Spreads," International Review of Finance, International Review of Finance Ltd., pages 113-149.
    3. In, Francis & Brown, Rob & Fang, Victor, 2003. "Modeling volatility and changes in the swap spread," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 545-561.
    4. Jackwerth, Jens Carsten, 2000. "Recovering Risk Aversion from Option Prices and Realized Returns," Review of Financial Studies, Society for Financial Studies, pages 433-451.
    5. Pierre Collin-Dufresne, 2001. "On the Term Structure of Default Premia in the Swap and LIBOR Markets," Journal of Finance, American Finance Association, vol. 56(3), pages 1095-1115, June.
    6. Jackwerth, Jens Carsten, 2000. "Recovering Risk Aversion from Option Prices and Realized Returns," Review of Financial Studies, Society for Financial Studies, pages 433-451.
    7. Duffie, Darrell & Singleton, Kenneth J, 1997. " An Econometric Model of the Term Structure of Interest-Rate Swap Yields," Journal of Finance, American Finance Association, vol. 52(4), pages 1287-1321, September.
    8. McQueen, Grant & Roley, V Vance, 1993. "Stock Prices, News, and Business Conditions," Review of Financial Studies, Society for Financial Studies, pages 683-707.
    9. Lang, Larry H. P. & Litzenberger, Robert H. & Luchuan Liu, Andy, 1998. "Determinants of interest rate swap spreads," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1507-1532, December.
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