Momentum in stock market returns: implications for risk premia on foreign currencies
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- Thomas Nitschka, 2010. "Momentum in stock market returns: Implications for risk premia on foreign currencies," Working Papers 2010-11, Swiss National Bank.
References listed on IDEAS
- Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2008.
"Arbitrage in the foreign exchange market: Turning on the microscope,"
Journal of International Economics,
Elsevier, vol. 76(2), pages 237-253, December.
- Q. Farooq Akram, & Dagfinn Rime & Lucio Sarno, 2005. "Arbitrage in the foreign exchange market: Turning on the microscope," Working Paper 2005/12, Norges Bank.
- Akram, Farooq & Rime, Dagfinn & Sarno, Lucio, 2008. "Arbitrage in the Foreign Exchange Market: Turning on the Microscope," CEPR Discussion Papers 6878, C.E.P.R. Discussion Papers.
- Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2006. "Arbitrage in the Foreign Exchange Market: Turning on the Microscope," SIFR Research Report Series 42, Institute for Financial Research.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Atanasov, Victoria & Nitschka, Thomas, 2014.
"Currency excess returns and global downside market risk,"
Journal of International Money and Finance,
Elsevier, vol. 47(C), pages 268-285.
- Victoria Galsband & Thomas Nitschka, 2013. "Currency excess returns and global downside market risk," Working Papers 2013-07, Swiss National Bank.
More about this item
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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