haku: @author De Santis, G. / yhteensä: 2
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Tekijä: | De Santis, G. GĂ©rard, B. |
Otsikko: | How big is the premium for currency risk? |
Lehti: | Journal of Financial Economics
1998 : SEP, VOL.49:3, p. 375-412 |
Asiasana: | Capital asset pricing Asset valuation Currency markets Exchange rates |
Kieli: | eng |
Tiivistelmä: | The authors estimate and test the conditional version of an international capital asset pricing model using a parsimonious multivariate GARCH process. Since the approach is fully parametric, they can recover any quantity that is a function of the first two conditional moments. Their findings strongly support a model which includes both market and foreign exchange risk. The evidence also indicates that, with the exception of the U.S. equity market, the premium for bearing currency risk often represents a significant fraction of the total premium. |
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