create a website

Exchange risk premia in the European monetary system. (2000). Wolff, Christian ; Verschoor, Willem ; Christian C. P. Wolff, ; Willem F. C. Verschoor, ; Willem F. C. Verschoor, ; Frederick G. M. C. Nieuwland, .
In: Applied Financial Economics.
RePEc:taf:apfiec:v:10:y:2000:i:4:p:351-360.

Full description at Econpapers || Download paper

Cited: 5

Citations received by this document

Cites: 44

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Great expectations? Evidence from Colombia´s exchange rate survey. (2012). Villamizar-Villegas, mauricio ; Echavarría, Juan ; Echavarria, Juan Jose.
    In: BORRADORES DE ECONOMIA.
    RePEc:col:000094:009999.

    Full description at Econpapers || Download paper

  2. Great expectations? Evidence from Colombia’s exchange rate survey. (2012). Villamizar-Villegas, mauricio ; Echavarría, Juan ; Echavarria, Juan Jose.
    In: Borradores de Economia.
    RePEc:bdr:borrec:735.

    Full description at Econpapers || Download paper

  3. Further evidence on the rationality of interest rate expectations. (2008). Verschoor, Willem ; Jongen, Ron ; Verschoor, Willem F. C., .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:18:y:2008:i:5:p:438-448.

    Full description at Econpapers || Download paper

  4. FOREIGN EXCHANGE RATE EXPECTATIONS: SURVEY AND SYNTHESIS. (2008). Wolff, Christian ; Christian C. P. Wolff, ; Willem F. C. Verschoor, ; Willem F. C. Verschoor, ; Jongen, Ron .
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:22:y:2008:i:1:p:140-165.

    Full description at Econpapers || Download paper

  5. Die internationale Intregration der Devisenmärkte in den mittel- und osteuropäischen Beitrittsländern: Spekulative Effizienz, Transaktionskosten und Wechselkursprämien. (2003). JOCHEM, Axel ; Herrmann, Sabine.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4204.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Adler, Michael ; Dumas, Bernard. (1983). International Portfolio Choice and Corporation Finance: A Synthesis. In: The Journal of Finance, 38 3 pp. 925.

  2. Bera, Anil K ; Jarque, Carlos M. (1982). Model specification tests. In: Journal of Econometrics, 20 1 pp. 59-82.

  3. Bilson, John F. O.. (1981). The "Speculative Efficiency" Hypothesis. In: J BUS, 54 3 pp. 435.

  4. Bollerslev, Tim ; Chou, Ray Y. ; Kroner, Kenneth F.. (1992). ARCH modeling in finance. In: Journal of Econometrics, 52 1-2 pp. 5-59.
    Paper not yet in RePEc: Add citation now
  5. Bollerslev, Tim. (1986). Generalized autoregressive conditional heteroskedasticity. In: Journal of Econometrics, 31 3 pp. 307-327.

  6. Breusch, T. S. ; Pagan, A. R.. (1979). A Simple Test for Heteroscedasticity and Random Coefficient Variation. In: Econometrica, 47 5 pp. 1287.

  7. Campbell, John Y. ; Clarida, Richard H.. (1987). The term structure of euromarket interest rates. In: Journal of Monetary Economics, 19 1 pp. 25-44.

  8. Cavaglia, Stefano ; Verschoor, Willem F.C. ; Wolff, Christian C.P.. (1993). Further evidence on exchange rate expectations. In: Journal of International Money and Finance, 12 1 pp. 78-98.

  9. Cavaglia, Stefano M. F. G. ; Verschoor, Willem F. C. ; Wolff, Christian C. P.. (1994). On the Biasedness of Forward Foreign Exchange Rates: Irrationality or Risk Premia?. In: J BUS, 67 3 pp. 321.

  10. Cumby R., 1984. Exchange Rate Theory and Practice
    Paper not yet in RePEc: Add citation now
  11. Diebold F. X., 1988. Empirical Modelling of Exchange Rate Dynamics
    Paper not yet in RePEc: Add citation now
  12. Diebold, F. X. ; Pauly, P.. (1988). Has the EMS reduced member-country exchange rate volatility?. In: Empirical Economics, 13 2 pp. 81-102.

  13. Diebold, Francis X. ; Pauly, Peter. (1988). Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate. In: European Economic Review, 32 1 pp. 27-53.

  14. Domowitz, Ian ; Hakkio, Craig S. (1985). Conditional variance and the risk premium in the foreign exchange market. In: Journal of International Economics, 19 1-2 pp. 47-66.

  15. Engle, Robert F. ; Bollerslev, Tim. (1986). Modelling the persistence of conditional variances. In: Econometric Reviews, 5 1 pp. 1-50.
    Paper not yet in RePEc: Add citation now
  16. Engle, Robert F. ; Lilien, David M. ; Robins, Russell P.. (1987). Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model. In: Econometrica, 55 2 pp. 391.

  17. Engle, Robert F.. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. In: Econometrica, 50 4 pp. 987.

  18. Fama, Eugene F.. (1984). Forward and spot exchange rates. In: Journal of Monetary Economics, 14 3 pp. 319-338.

  19. Frankel, Jeffrey ; Engel, Charles M.. (1984). Do asset-demand functions optimize over the mean and variance of real returns? A six-currency test. In: Journal of International Economics, 17 3-4 pp. 309-323.

  20. Frankel, Jeffrey A. ; Froot, Kenneth A.. (1987). Short-term and long-term expectations of the yen/dollar exchange rate: Evidence from survey data. In: Journal of the Japanese and International Economies, 1 3 pp. 249-274.

  21. Frankel, Jeffrey A.. (1982). In search of the exchange risk premium: A six-currency test assuming mean-variance optimization. In: Journal of International Money and Finance, 1 pp. 255-274.

  22. Froot, Kenneth A. ; Frankel, Jeffrey A.. (1989). Forward Discount Bias: Is it an Exchange Risk Premium?. In: The Quarterly Journal of Economics, 104 1 pp. 139.

  23. Giovannini, Alberto ; Jorion, Philippe. (1987). Interest rates and risk premia in the stock market and in the foreign exchange market. In: Journal of International Money and Finance, 6 1 pp. 107-123.

  24. Gregory, Allan W.. (1989). A Nonparametric Test for Autoregressive Conditional Heteroscedasticity: A Markov-Chain Approach. In: Journal of Business & Economic Statistics, 7 1 pp. 107.

  25. Hansen, Lars Peter ; Hodrick, Robert J.. (1980). Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis. In: Journal of Political Economy, 88 5 pp. 829-853.

  26. Hodrick R. J., 1987. The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets
    Paper not yet in RePEc: Add citation now
  27. Hodrick, Robert J. ; Srivastava, Sanjay. (1984). An investigation of risk and return in forward foreign exchange. In: Journal of International Money and Finance, 3 1 pp. 5-29.

  28. Hodrick, Robert J. ; Srivastava, Sanjay. (1986). The covariation of risk premiums and expected future spot exchange rates. In: Journal of International Money and Finance, 5 pp. S5-S21.

  29. Hodrick, Robert J.. (1981). International asset pricing with time-varying risk premia. In: Journal of International Economics, 11 4 pp. 573-587.

  30. Hsieh, David A.. (1984). Tests of rational expectations and no risk premium in forward exchange markets. In: Journal of International Economics, 17 1-2 pp. 173-184.

  31. Hsieh, David A.. (1989). Modeling Heteroscedasticity in Daily Foreign-Exchange Rates. In: Journal of Business & Economic Statistics, 7 3 pp. 307.

  32. Kiefer, Nicholas M. ; Salmon, Mark. (1983). Testing normality in econometric models. In: Economics Letters, 11 1-2 pp. 123-127.

  33. Koedijk, Kees G. ; Schafgans, Marcia M.A. ; de Vries, Casper G.. (1990). The tail index of exchange rate returns. In: Journal of International Economics, 29 1-2 pp. 93-108.
    Paper not yet in RePEc: Add citation now
  34. Korajczyk, Robert A.. (1985). The Pricing of Forward Contracts for Foreign Exchange. In: Journal of Political Economy, 93 2 pp. 346-368.

  35. Lamoureux, Christopher G. ; Lastrapes, William D.. (1990). Persistence in Variance, Structural Change, and the GARCH Model. In: Journal of Business & Economic Statistics, 8 2 pp. 225.

  36. Lastrapes, William D.. (1989). Exchange Rate Volatility and U. S. Monetary Policy: An ARCH Application. In: Journal of Money, Credit and Banking, 21 1 pp. 66.

  37. Levich R., 1985. Handbook of International Economics
    Paper not yet in RePEc: Add citation now
  38. Longworth, David. (1981). Testing the Efficiency of the Canadian-U.S. Exchange Market under the Assumption of no Risk Premium. In: The Journal of Finance, 36 1 pp. 43.

  39. Lucas, Robert E.. (1982). Interest rates and currency prices in a two-country world. In: Journal of Monetary Economics, 10 3 pp. 335-359.

  40. Nieuwland, Frederick GMC ; Verschoor, Willem FC ; Wolff, Christian CP. (1994). Stochastic trends and jumps in EMS exchange rates. In: Journal of International Money and Finance, 13 6 pp. 699-727.

  41. Roll, Richard ; Solnik, Bruno. (1977). A pure foreign exchange asset pricing model. In: Journal of International Economics, 7 2 pp. 161-179.

  42. Stulz, RenéM.. (1981). A model of international asset pricing. In: Journal of Financial Economics, 9 4 pp. 383-406.
    Paper not yet in RePEc: Add citation now
  43. Weiss, Andrew A.. (1986). Asymptotic Theory for ARCH Models: Estimation and Testing. In: Econ Theory, 2 01 pp. 107-131.

  44. Wolff, Christian C. P.. (1987). Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal- Extraction Approach. In: The Journal of Finance, 42 2 pp. 395.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Time-varying performance of international mutual funds. (2012). Zhang, Chengping ; Turtle, H. J..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:3:p:334-348.

    Full description at Econpapers || Download paper

  2. The Impact of Macroeconomic Variables on Corporate Performance - What Shareholders Ought to Know?. (2007). Oxelheim, Lars.
    In: Working Paper Series.
    RePEc:hhs:iuiwop:0571.

    Full description at Econpapers || Download paper

  3. Is Home Bias in Assets Related to Home Bias in Goods?. (2006). Warnock, Francis ; van Wincoop, Eric.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12728.

    Full description at Econpapers || Download paper

  4. Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US. (2006). Lewis, Karen K..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12697.

    Full description at Econpapers || Download paper

  5. The Performance of International Equity Portfolios. (2006). Wongswan, Jon ; Warnock, Francis ; Thomas, Charles ; CharlesP. Thomas, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12346.

    Full description at Econpapers || Download paper

  6. The Performance of International Equity Portfolios. (2006). Thomas, Charles ; CharlesP. Thomas, .
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp162.

    Full description at Econpapers || Download paper

  7. Evaluating a nonlinear asset pricing model on international data. (2006). Asgharian, Hossein ; Karlsson, Sonnie.
    In: Working Papers.
    RePEc:hhs:lunewp:2006_005.

    Full description at Econpapers || Download paper

  8. Foreign exchange volatility is priced in equities. (2006). Neely, Christopher ; Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2004-029.

    Full description at Econpapers || Download paper

  9. Home bias in global bond and equity markets: the role of real exchange rate volatility. (2006). Thimann, Christian ; Fratzscher, Marcel ; Fidora, Michael.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006685.

    Full description at Econpapers || Download paper

  10. Financial integration of new EU Member States. (2006). Manganelli, Simone ; Kadareja, Arjan ; Gerard, Bruno ; Cappiello, Lorenzo.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006683.

    Full description at Econpapers || Download paper

  11. German Exchange Rate Exposure at DAX and Aggregate Level, International Trade, and the Role of Exchange Rate Adjustment Costs. (2005). Entorf, Horst ; Jamin, .
    In: International Finance.
    RePEc:wpa:wuwpif:0508005.

    Full description at Econpapers || Download paper

  12. Explaining exchange rate dynamics: the uncovered equity return parity condition. (2005). De Santis, Roberto A ; Cappiello, Lorenzo.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005529.

    Full description at Econpapers || Download paper

  13. La recherche française en finance:une perspective à travers les travaux des enseignants-chercheurs en gestion sur la période 1994-2003. (2005). Schatt, Alain ; Charreaux, Gerard.
    In: Working Papers CREGO.
    RePEc:dij:wpfarg:1051001.

    Full description at Econpapers || Download paper

  14. Non-synchronous Trading and Testing for Market Integration in Central European Emerging Markets. (2005). Zalewska, Ania ; Schotman, Peter C.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5352.

    Full description at Econpapers || Download paper

  15. Home Bias and International Risk Sharing: Twin Puzzles Separated at Birth. (2005). Sorensen, Bent ; Yosha, Oved ; Zhu, YU ; Wu, Yi-Tsung.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5113.

    Full description at Econpapers || Download paper

  16. Return-volatility linkages in the international equity and currency markets. (2004). HASAN, IFTEKHAR ; Francis, Bill B. ; Hunter, Delroy M..
    In: Finance.
    RePEc:wpa:wuwpfi:0405022.

    Full description at Econpapers || Download paper

  17. TIME VARIATION AND ASYMMETRY IN THE WORLD PRICE OF COVARIANCE RISK: THE IMPLICATIONS FOR INTERNATIONAL DIVERSIFICATION. (2004). Shields, K ; Olekalns, Nilss ; Henry, Ólan.
    In: Department of Economics - Working Papers Series.
    RePEc:mlb:wpaper:907.

    Full description at Econpapers || Download paper

  18. The Performance of International Equity Portfolios. (2004). Wongswan, Jon ; Warnock, Francis ; Thomas, Charles ; CharlesP. Thomas, .
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:817.

    Full description at Econpapers || Download paper

  19. That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds. (2004). Thorp, Susan.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:148.

    Full description at Econpapers || Download paper

  20. Keeping up with the Joneses: An international asset pricing model. (2003). Zapatero, Fernando ; Priestly, Richard ; Gomez, Juan-Pedro .
    In: Economics Working Papers.
    RePEc:upf:upfgen:694.

    Full description at Econpapers || Download paper

  21. Exchange Rate Pegs and Foreign Exchange Exposure in East Asia. (2002). Popper, Helen ; Parsley, David.
    In: International Finance.
    RePEc:wpa:wuwpif:0211001.

    Full description at Econpapers || Download paper

  22. Are Financial Assets Priced Locally or Globally?. (2002). Stulz, René ; Karolyi, G..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8994.

    Full description at Econpapers || Download paper

  23. International Asset Pricing and the Benefits from World Market Diversification. (2002). Nilsson, Birger.
    In: Working Papers.
    RePEc:hhs:lunewp:2002_001.

    Full description at Econpapers || Download paper

  24. Emerging market liberalization and the impact on uncovered interest rate parity. (2002). HASAN, IFTEKHAR ; Francis, Bill ; Hunter, Delroy.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2002-16.

    Full description at Econpapers || Download paper

  25. An Evaluation of International Asset Pricing Models. (2002). Dahlquist, Magnus ; Sallstrom, Torbjorn.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3145.

    Full description at Econpapers || Download paper

  26. Corporate Financial Policies and Performance Prior to Currency Crises. (2001). Koskinen, Yrjö ; Bris, Arturo ; Pons, Vicente .
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2001-386.

    Full description at Econpapers || Download paper

  27. Corporate Financial Policies and Performance Around Currency Crises. (2001). Koskinen, Yrjö ; Bris, Arturo ; Pons, Vicente .
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0467.

    Full description at Econpapers || Download paper

  28. The Cost of Capital in International Financial Markets: Local or Global. (2001). van Dijk, Mathijs ; Kool, Clemens ; Koedijk, Kees ; Schotman, Peter ; Kool, Clemens J. M., .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3062.

    Full description at Econpapers || Download paper

  29. The selection of multinational equity portfolios: forecasting models and estimation risk. (2000). Nigel Meade, Gerry R. Salkin, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:6:y:2000:i:3:p:259-279.

    Full description at Econpapers || Download paper

  30. International bond markets and the introduction of the Euro. (2000). Kool, Clemens ; Clemens J. M. Kool, .
    In: Review.
    RePEc:fip:fedlrv:y:2000:i:sep:p:41-56:n:v.82no.5.

    Full description at Econpapers || Download paper

  31. Exchange Rate And Foreign Inflation Risk Premiums In Global Equity Returns. (2000). Vassalou, Maria.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:2448.

    Full description at Econpapers || Download paper

  32. An International Dynamic Asset Pricing Model. (1999). Ng, David ; Hodrick, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7157.

    Full description at Econpapers || Download paper

  33. Risk and International Parity Conditions: A Synthesis from Consumption Based Models. (1997). Chiang, Thomas ; JOSÉ A. TRINIDAD, .
    In: International Economic Journal.
    RePEc:taf:intecj:v:11:y:1997:i:2:p:73-101.

    Full description at Econpapers || Download paper

  34. Tests of Three Parity Conditions: Distinguishing Risk Premia and Systematic Forecast Errors. (1994). Marston, Richard C..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4923.

    Full description at Econpapers || Download paper

  35. Why is Capital so Immobile Internationally?: Possible Explanations and Implications for Capital Income Taxation. (1994). Gordon, Roger ; Bovenberg, Lans.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4796.

    Full description at Econpapers || Download paper

  36. International Portfolio Choice and Asset Pricing: An Integrative Survey. (1994). Stulz, René.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4645.

    Full description at Econpapers || Download paper

  37. International Equity Transactions and U.S. Portfolio Choice. (1994). Tesar, Linda ; Werner, Ingrid M..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4611.

    Full description at Econpapers || Download paper

  38. Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets. (1993). Ito, Takatoshi ; Lin, Wen-Ling .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4592.

    Full description at Econpapers || Download paper

  39. Term, Inflation, and Foreign Exchange Risk Premia: A Unified Treatment. (1993). Svensson, Lars.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4544.

    Full description at Econpapers || Download paper

  40. The World Price of Foreign Exchange Risk. (1993). Dumas, Bernard ; Solnik, Bruno.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4459.

    Full description at Econpapers || Download paper

  41. Home Bias and the High Turnover. (1992). Tesar, Linda ; Werner, Ingrid M..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4218.

    Full description at Econpapers || Download paper

  42. The Globalization of Information and Capital Mobility. (1990). Jaffee, Dwight M. ; Branson, William H..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:3496.

    Full description at Econpapers || Download paper

  43. The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk. (1990). Svensson, Lars.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:3466.

    Full description at Econpapers || Download paper

  44. Promoting Investment under International Capital Mobility: An Intertemporal General Equilibrium Analysis. (1989). Bovenberg, Lans ; Goulder, Lawrence H..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:3139.

    Full description at Econpapers || Download paper

  45. Trade Liberalization in General Equilibrium: Intertemporal and Inter-Industry Effects. (1989). Eichengreen, Barry ; Goulder, Lawrence H..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:2965.

    Full description at Econpapers || Download paper

  46. Equilibrium Exchange Rate Hedging. (1989). Black, Fischer .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:2947.

    Full description at Econpapers || Download paper

  47. Pricing Physical Assets Internationally. (1988). Dumas, Bernard.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:2569.

    Full description at Econpapers || Download paper

  48. Consumption Risk and International Asset Returns: Some Empirical Evidence. (1987). Cumby, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:2383.

    Full description at Econpapers || Download paper

  49. Capital Flows, Investment, and Exchange Rates. (1985). Svensson, Lars ; Stockman, Alan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:1598.

    Full description at Econpapers || Download paper

  50. Asset Markets, Tariffs, and Political Risk. (1984). Stockman, Alan ; Dellas, Harris.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:1413.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-26 11:46:29 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.

pFad - Phonifier reborn

Pfad - The Proxy pFad of © 2024 Garber Painting. All rights reserved.

Note: This service is not intended for secure transactions such as banking, social media, email, or purchasing. Use at your own risk. We assume no liability whatsoever for broken pages.


Alternative Proxies:

Alternative Proxy

pFad Proxy

pFad v3 Proxy

pFad v4 Proxy