Pricing Currency Risks
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- Mikhail Chernov & Magnus Dahlquist & Lars Lochstoer, 2023. "Pricing Currency Risks," Journal of Finance, American Finance Association, vol. 78(2), pages 693-730, April.
- Mikhail Chernov & Magnus Dahlquist & Lars A. Lochstoer, 2020. "Pricing Currency Risks," NBER Working Papers 28260, National Bureau of Economic Research, Inc.
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- Hassan, Ramin & Loualiche, Erik & Pecora, Alexandre R. & Ward, Colin, 2023. "International trade and the risk in bilateral exchange rates," Journal of Financial Economics, Elsevier, vol. 150(2).
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More about this item
Keywords
Currency risk premiums; Stochastic discount factor; Factor models;All these keywords.
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CWA-2021-05-17 (Central and Western Asia)
- NEP-IFN-2021-05-17 (International Finance)
- NEP-ORE-2021-05-17 (Operations Research)
- NEP-RMG-2021-05-17 (Risk Management)
Statistics
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