Pricing risks across currency denominations
Year of publication: |
2019
|
---|---|
Authors: | Maurer, Thomas ; Tô, Thuy-Duong ; Tran, Ngoc-Khanh |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 65.2019, 11, p. 5308-5336
|
Subject: | international finance | FX | currency risk | carry trade | stochastic discount factor (SDF) | permanent | transitory | principal component | international stock markets | macroeconomic fundamental | financial stress indicator | Währungsrisiko | Exchange rate risk | Welt | World | Währungsspekulation | Currency speculation | Internationaler Finanzmarkt | International financial market | CAPM | Theorie | Theory | Schätzung | Estimation | Risikoprämie | Risk premium |
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