GLOBAL AND REGIONAL RISKS IN CURRENCY RETURNS

DOI10.1142/S0219024919500468zbMath1430.91126OpenAlexW2986717511MaRDI QIDQ5210918

Jairo A. Rendon

Publication date: 16 January 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024919500468

zbMATH Keywords

asset pricingforeign exchangefactor model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Stochastic calculus for finance. II: Continuous-time models.
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
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