Currency risk premia: Perceptions of downside risk and deviations from benchmark values
Author:
Affiliation:
1. Center for People, Politics, and Markets Goucher College Baltimore Maryland
2. Economics Division Babson College Babson Park Massachusetts
3. INET Program on Imperfect Knowledge Economics New York, NY USA
Funder
Institute for New Economic Thinking
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/ijfe.1647
Reference49 articles.
1. Modeling and Forecasting Realized Volatility
2. Predictability in financial markets: What do survey expectations tell us?
3. Bank of I. S.(2013).Triennial central bank survey—Foreign exchange turnover in april 2013.
4. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
5. Carry trades and currency crashes;Brunnermeier M. K.;NBER Macroeconomics Annual,2009
Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Currency returns and downside risk: Debt, volatility, and the gap from benchmark values;Journal of Macroeconomics;2021-06
2. New Evidence on the Portfolio Balance Approach to Currency Returns;SSRN Electronic Journal;2019
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