haku: @author Wu, Y. / yhteensä: 13
viite: 5 / 13
| Tekijä: | Patro, D. K. Wald, J. K. Wu, Y. |
| Otsikko: | Explaining exchange rate risk in world stock markets: a panel approach |
| Lehti: | Journal of Banking and Finance
2002 : OCT, VOL. 26:10, p. 1951-1972 |
| Asiasana: | Exchange rates Risk management Stock markets |
| Kieli: | eng |
| Tiivistelmä: | Using a GARCH approach, the authors estimate a time-varying two-factor international asset pricing model for weekly equity index returns of 16 OECD countries. A trade-weighted basket of exchange rates and the MSCI world market index are used as risk factors. |
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