Asymmetric currency exposure and currency risk pricing

Chu Sheng Tai

doi:10.1016/j.irfa.2007.09.002

Asymmetric currency exposure and currency risk pricing

Texas Southern University

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	647-663
Number of pages	17
Journal	International Review of Financial Analysis
Volume	17
Issue number	4
DOIs	https://doi.org/10.1016/j.irfa.2007.09.002
State	Published - Sep 2008

ASJC Scopus Subject Areas

Finance
Economics and Econometrics

Keywords

Asymmetric currency exposure
Multivariate GARCH-M
Time-varying currency risk premium

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10.1016/j.irfa.2007.09.002

Cite this

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JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

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Asymmetric currency exposure and currency risk pricing

ASJC Scopus Subject Areas

Keywords

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