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We provide a model-free framework to study the global factor structure of exchange rates. To this end, we propose a new methodology to estimate international stochastic discount factors (SDFs) that jointly price cross-sections of international assets, such as stocks, bonds, and currencies, in...
Persistent link: https://www.econbiz.de/10014239809
Persistent link: https://www.econbiz.de/10011933876
We provide a theoretical framework to uncover in a model-free way the relationship between international stochastic discount factors (SDFs), stochastic wedges, and financial market structures. Exchange rates are in general different from the ratio of international SDFs in incomplete markets, as...
Persistent link: https://www.econbiz.de/10011877461
We provide a model-free framework to study the global factor structure of exchange rates. To this end, we propose a new methodology to estimate international stochastic discount factors (SDFs) that jointly price cross-sections of international assets, such as stocks, bonds, and currencies, in...
Persistent link: https://www.econbiz.de/10012419696
We provide a model-free framework to study the global factor structure of exchange rates. To this end, we propose a new methodology to estimate international stochastic discount factors (SDFs) that jointly price cross-sections of international assets, such as stocks, bonds, and currencies, in...
Persistent link: https://www.econbiz.de/10012482111
Persistent link: https://www.econbiz.de/10012305960
Persistent link: https://www.econbiz.de/10012307402
Persistent link: https://www.econbiz.de/10014282382