Conditional co-skewness and safe-haven currencies: A regime switching approach-Reference-Cited by-同舟云学术

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Conditional co-skewness and safe-haven currencies: A regime switching approach

Published:2018-09 Issue: Volume:48 Page:58-80
ISSN:0927-5398
Container-title:Journal of Empirical Finance
language:en
Short-container-title:Journal of Empirical Finance

Author:

Chan Kalok,Yang Jian,Zhou Yinggang

Funder

National Natural Science Foundation of China

Hong Kong RGC Research Grant

Xiamen University’s Fundamental Research Funds for the Central University

Mindu Educational Fund

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference48 articles.

1. Marketwide private information in stocks: forecasting currency returns;Albuquerque;J. Financ.,2008

2. International asset allocation with regime shifts;Ang;Rev. Financ. Stud.,2002

3. What does the yield curve tell us about GDP growth?;Ang;J. Econometrics,2006

4. The intertemporal relation between expected return and risk;Bali;J. Financ. Econ.,2008

5. Is there an intertemporal relation between downside risk and expected returns?;Bali;J. Financ. Quant. Anal.,2009

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