Similar Search Results

The Effect of Exchange Rate Risk on the Conditional Relationship between Beta Risk and Return in International Equity Markets

Sandoval, Eduardo - 2010

The paper examines the effect of exchange rate risk on the conditional relationship between beta risk and return in international equity markets from January 1978 through September 2004. We use an extension of the model introduced by Pettengill, Sundaran, and Mathur (PSM Model, 1995) and adapted...

Persistent link: https://www.econbiz.de/10013148458

The effect of exchange rate risk on the conditional relationship between beta risk and return in international equity markets

Sandoval, Eduardo; Vásquez, Arturo - In: The international journal of business and finance … 2 (2008) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10003951974

The conditional volatility premium on currency portfolios

Byrne, Joseph P.; Sakemoto, Ryuta - In: Journal of international financial markets, … 74 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10012803308

Inflation risk, exchange rate risk, and asset returns : evidence from Korea, Malaysia, and Taiwan

Saleem, Kashif - In: The journal of applied business research 29 (2013) 4, pp. 1209-1221

Persistent link: https://www.econbiz.de/10009777588

The risk-return tradeoff in international stock markets : one-step multivariate GARCH-M estimation with many assets

Dhaene, Geert; Sercu, Piet; Wu, Jianbin - 2016

Persistent link: https://www.econbiz.de/10011707065

Exchange Rate Risk and Sectoral Returns : A Wavelet-Based MRA-EDCC GARCH Analysis

Qureshi, Saba; Qureshi, Fiza; Soomro, Arjumand Bano; … - 2022

scale-dependent. The extent of mean and volatility spillover prevalence varies across different scales. Hence, homogenous … volatility impact on sectoral returns, whereas, few sectoral returns are found to affect exchange rate. Our results are robust to … alternative methods of causality and short-run volatility spillover through GARCH-in-mean SVAR model. Our findings provide useful …

Persistent link: https://www.econbiz.de/10014030139

The risk-return relationship and volatility feedback in South Africa : a comparative analysis of the parametric and nonparametric Bayesian approach

Dwarika, Nitesha - In: Quantitative finance and economics 7 (2023) 1, pp. 119-146

Persistent link: https://www.econbiz.de/10014279147

Return and volatility interdependences in up and down markets across developed and emerging countries

Kundu, Srikanta; Sarkar, Nityananda - In: Research in international business and finance 36 (2016), pp. 297-311

Persistent link: https://www.econbiz.de/10011594440

Conditional co-skewness and safe-haven currencies : a regime switching approach

Chan, Kalok; Yang, Jian; Zhou, Yinggang - In: Journal of empirical finance 48 (2018), pp. 58-80

Persistent link: https://www.econbiz.de/10012109268

Time-varying betas of sectoral returns to market returns and exchange rate movements

Karlsson, Hyunjoo Kim; Hacker, Scott - In: Applied financial economics 23 (2013) 13/15, pp. 1155-1168

Persistent link: https://www.econbiz.de/10010204788