Pricing risks across currency denominations

Thomas A. Maurer, Thuy-Duong Tô, Ngoc-Khanh Tran

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 \| Internationaler Finanzmarkt \| International financial market \| Welt \| World \| Theorie \| Theory \| Volatilität \| Volatility \| Portfolio-Management \| Portfolio selection \| Risikoprämie \| Risk premium \| Finanzkrise \| Financial crisis \| Diskontierung \| Discounting \| Preiskonvergenz \| Price convergence \| Kapitaleinkommen \| Capital income \| CAPM \| Wechselkurs \| Exchange rate

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1287/mnsc.2018.3109 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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