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International asset pricing with time-varying risk premia


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Cited by:

  1. Verschoor, Willem F. C. & Wolff, Christian C. P., 2001. "Exchange risk premia, expectations formation and "news" in the Mexican peso/U.S. dollar forward exchange rate market," International Review of Financial Analysis, Elsevier, pages 157-174.
  2. Ehrenberg, Ronald G. & Schwarz, Joshua L., 1987. "Public-sector labor markets," Handbook of Labor Economics,in: O. Ashenfelter & R. Layard (ed.), Handbook of Labor Economics, edition 1, volume 2, chapter 22, pages 1219-1260 Elsevier.
  3. Juan Pablo Domínguez H., 2007. "Cost of Equity Capital and Country Risk: An econometric analysis of the expected rate of return for four Latin American countries," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, vol. 32(23), pages 63-90, january-j.
  4. Obstfeld, Maurice, 1983. "Exchange rates, inflation, and the sterilization problem: Germany, 1975-1981," European Economic Review, Elsevier, pages 161-189.
  5. Ramos, Sofia B. & Veiga, Helena, 2011. "Risk factors in oil and gas industry returns: International evidence," Energy Economics, Elsevier, vol. 33(3), pages 525-542, May.
  6. Maurice Obstfeld, 1982. "Exchange Rates, Inflation and the Sterilization Problem: Germany, 1975-1981," NBER Working Papers 0963, National Bureau of Economic Research, Inc.
  7. Gruber, J. & Currie, J., 1994. "Saving Babies: The Efficacy and Cost of Recent Expansions of Medicaid Eligibility for Pregnant Women," Working papers 94-11, Massachusetts Institute of Technology (MIT), Department of Economics.
  8. Sebastián Edwards, 1983. "La Relación entre las Tasas de Interés y el Tipo de Cambio Bajo un Sistema de Cambio Flotante," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., pages 65-74.
  9. Adler, Michael & Qi, Rong, 2003. "Mexico's integration into the North American capital market," Emerging Markets Review, Elsevier, pages 91-120.
  10. Athanasios Orphanides & John C. Williams, 2005. "Inflation scares and forecast-based monetary policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 498-527, April.
  11. Bams, Dennis & Walkowiak, Kim & Wolff, Christian C. P., 2004. "More evidence on the dollar risk premium in the foreign exchange market," Journal of International Money and Finance, Elsevier, pages 271-282.
  12. De Santis, Giorgio & Gerard, Bruno & Hillion, Pierre, 2003. "The relevance of currency risk in the EMU," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 427-462.
  13. Levine, Ross, 1989. "An International Arbitrage Pricing Model with PPP Deviations," Economic Inquiry, Western Economic Association International, vol. 27(4), pages 587-599, October.
  14. Hodrick, Robert J. & Srivastava, Sanjay, 1984. "An investigation of risk and return in forward foreign exchange," Journal of International Money and Finance, Elsevier, pages 5-29.
  15. Ito, Takatoshi, 1988. "Use of (Time-Domain) Vector Autoregressions to Test Uncovered Interest Parity," The Review of Economics and Statistics, MIT Press, pages 296-305.
  16. Edward Kane, 1999. "How Offshore Financial Competition Disciplines Exit Resistance by Incentive-Conflicted Bank Regulators," Journal of Financial Services Research, Springer;Western Finance Association, pages 265-291.
  17. König, Peter & Möller, Joachim, 1988. "Deviations from uncovered interest parity: A Kalman filter approach to the Mark/Dollar rate and the Swiss Franc/Dollar rate," Discussion Papers, Series II 52, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
  18. Robert Hodrick & David Ng & Paul Sengmueller, 1999. "An International Dynamic Asset Pricing Model," International Tax and Public Finance, Springer;International Institute of Public Finance, pages 597-620.
  19. Pierre-Olivier Gourinchas & Aaron Tornell, 2000. "Exchange Rate Dynamics, Learning and Misperception," Econometric Society World Congress 2000 Contributed Papers 0795, Econometric Society.
  20. Jorge Braga de Macedo, 1982. "Optimal Currency Diversification for a Class of Risk Averse International Investors," NBER Working Papers 0959, National Bureau of Economic Research, Inc.
  21. Li, Kai & Sarkar, Asani & Wang, Zhenyu, 2003. "Diversification benefits of emerging markets subject to portfolio constraints," Journal of Empirical Finance, Elsevier, pages 57-80.
  22. Gerard, Bruno & Thanyalakpark, Kessara & Batten, Jonathan A., 2003. "Are the East Asian markets integrated? Evidence from the ICAPM," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 585-607.
  23. Ross Levine, 1988. "The forward exchange rate bias: a new explanation," International Finance Discussion Papers 338, Board of Governors of the Federal Reserve System (U.S.).
  24. Andrei G. Simonassi, 2006. "Estimando A Taxa De Retorno Livre De Risco No Brasil," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 180, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  25. Laurence J. Kotlikoff & Ariél Pakes, 1988. "Looking for the News in the Noise. Additional Stochastic Implications of Optimal Consumption Choise," Annals of Economics and Statistics, GENES, pages 29-46.
  26. Verschoor, Willem F. C. & Wolff, Christian C. P., 2001. "Scandinavian forward discount bias risk premia," Economics Letters, Elsevier, pages 65-72.
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