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The role of exchange rates in intertemporal risk-return relations

Bali, Turan G.; Wu, Liuren - In: Journal of international money and finance 29 (2010) 8, pp. 1670-1686

Persistent link: https://www.econbiz.de/10009239632

Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies

Bakshi, Gurdip S.; Carr, Peter; Wu, Liuren - In: Journal of financial economics 87 (2008) 1, pp. 132-156

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Stochastic skew in currency options

Carr, Peter; Wu, Liuren - In: Journal of financial economics 86 (2007) 1, pp. 213-247

Persistent link: https://www.econbiz.de/10003546310

Design and estimation of multi-currency quadratic models

Leippold, Markus; Wu, Liuren - In: Review of finance : journal of the European Finance … 11 (2007) 2, pp. 167-207

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Imports, exports, dollar exposures, and stock returns

Chakraborty, Suparna; Tang, Yi; Wu, Liuren - In: Open economies review 26 (2015) 5, pp. 1059-1079

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The Role of Exchange Rates in the Intertemporal Risk-Return Relation in International Economies

Bali, Turan G.; Wu, Liuren - 2005

This paper investigates the role of currency denomination in the the intertemporal risk-return relation among G7 countries. Similar to the findings of previous studies, our estimation also shows that the financial markets of the G7 countries are integrated. We obtain significant pricing...

Persistent link: https://www.econbiz.de/10009440704