Volatility risk premia and exchange rate predictability-Reference-Cited by-同舟云学术

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Volatility risk premia and exchange rate predictability

Published:2016-04 Issue:1 Volume:120 Page:21-40
ISSN:0304-405X
Container-title:Journal of Financial Economics
language:en
Short-container-title:Journal of Financial Economics

Author:

Della Corte Pasquale,Ramadorai Tarun,Sarno Lucio

Funder

ESRC

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference66 articles.

1. Limits to arbitrage and hedging: evidence from commodity markets;Acharya;Journal of Financial Economics,2013

2. Financial intermediaries and the cross section of asset returns;Adrian;Journal of Finance,2014

3. Risks and portfolio decisions involving hedge funds;Agarwal;Review of Financial Studies,2004

4. Arbitrage in the foreign exchange market: turning on the microscope;Akram;Journal of International Economics,2008

5. Heteroskedasticity and autocorrelation consistent covariance matrix estimation;Andrews;Econometrica,1991

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