Conditional Currency Risk Premia

SSRN Electronic Journal ◽

10.2139/ssrn.1910126 ◽

2011 ◽

Author(s):

Martin Lettau

Keyword(s):

Risk Premia ◽

Currency Risk

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US Monetary Policy Uncertainty and Currency Risk Premia

SSRN Electronic Journal ◽

10.2139/ssrn.3154474 ◽

2018 ◽

Author(s):

Ming Zeng

Keyword(s):

Monetary Policy ◽

Risk Premia ◽

Policy Uncertainty ◽

Currency Risk ◽

Us Monetary Policy

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Central Bank Tone and Currency Risk Premia

Journal of International Money and Finance ◽

10.1016/j.jimonfin.2021.102424 ◽

2021 ◽

pp. 102424

Author(s):

Asad Dossani

Keyword(s):

Central Bank ◽

Risk Premia ◽

Currency Risk

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Currency Risk Premia and Macro Fundamentals

SSRN Electronic Journal ◽

10.2139/ssrn.2282480 ◽

2013 ◽

Cited By ~ 6

Author(s):

Lukas Menkhoff ◽

Lucio Sarno ◽

Maik Schmeling ◽

Andreas Schrimpf

Keyword(s):

Risk Premia ◽

Currency Risk

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Real Exchange Rates and Currency Risk Premia

SSRN Electronic Journal ◽

10.2139/ssrn.2439407 ◽

2014 ◽

Cited By ~ 5

Author(s):

Pierluigi Balduzzi ◽

I-Hsuan Ethan Chiang

Keyword(s):

Exchange Rates ◽

Real Exchange Rates ◽

Risk Premia ◽

Currency Risk

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Country and currency risk premia: evidence from the Mexican sovereign debt market 1993–94

The New York University Salomon Center Series on Financial Markets and Institutions - Emerging Market Capital Flows ◽

10.1007/978-1-4615-6197-2_19 ◽

1998 ◽

pp. 319-334

Author(s):

Ian Domowitz ◽

Jack Glen ◽

Ananth Madhavan

Keyword(s):

Sovereign Debt ◽

Risk Premia ◽

Currency Risk ◽

Debt Market

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The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk

The American Economic Review ◽

10.1257/000282807780323640 ◽

2007 ◽

Vol 97 (1) ◽

pp. 89-117 ◽

Cited By ~ 6

Author(s):

Hanno Lustig ◽

Adrien Verdelhan

Keyword(s):

Cross Section ◽

Foreign Currency ◽

Risk Premia ◽

Currency Risk ◽

Consumption Growth ◽

The Cross

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The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply

10.3386/w13812 ◽

2008 ◽

Cited By ~ 40

Author(s):

Hanno Lustig ◽

Adrien Verdelhan

Keyword(s):

Cross Section ◽

Foreign Currency ◽

Risk Premia ◽

Currency Risk ◽

Consumption Growth ◽

The Cross

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Erratum to “Equity tail risk and currency risk premia [Journal of Financial Economics 143/1 (2022) 484 –503]

Journal of Financial Economics ◽

10.1016/j.jfineco.2021.12.005 ◽

2022 ◽

Author(s):

Zhenzhen Fan ◽

Juan M. Londono ◽

Xiao Xiao

Keyword(s):

Financial Economics ◽

Risk Premia ◽

Currency Risk ◽

Tail Risk

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The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply

SSRN Electronic Journal ◽

10.2139/ssrn.1687187 ◽

2010 ◽

Author(s):

Hanno N. Lustig ◽

Adrien Verdelhan

Keyword(s):

Cross Section ◽

Foreign Currency ◽

Risk Premia ◽

Currency Risk ◽

Consumption Growth ◽

The Cross

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An Arbitrage-Free Nelson-Siegel Term Structure Model with Stochastic Volatility for the Determination of Currency Risk Premia

SSRN Electronic Journal ◽

10.2139/ssrn.2535834 ◽

2014 ◽

Cited By ~ 13

Author(s):

Sarah Mouabbi

Keyword(s):

Stochastic Volatility ◽

Term Structure ◽

Risk Premia ◽

Structure Model ◽

Currency Risk ◽

Term Structure Model

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