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Lukas Kremens

Personal Details

First Name:Lukas
Middle Name:
Last Name:Kremens
Suffix:
RePEc Short-ID:pkr367
[This author has chosen not to make the email address public]
http://sites.google.com/site/lukaskremensweb
Terminal Degree:2019 Finance Department; London School of Economics (LSE) (from RePEc Genealogy)

Affiliation

Department of Finance and Business Economics
Michael G. Foster School of Business
University of Washington

Seattle, Washington (United States)
http://foster.uw.edu/faculty-research/academic-departments/finance-and-business-economics/
RePEc:edi:dfuwaus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Jason Roderick Donaldson & Lukas Kremens & Giorgia Piacentino, 2022. "Sovereign Bond Restructuring: Commitment vs. Flexibility," NBER Working Papers 29872, National Bureau of Economic Research, Inc.
  2. Martin, Ian & Kremens, Lukas, 2017. "The Quanto Theory of Exchange Rates," CEPR Discussion Papers 11970, C.E.P.R. Discussion Papers.

Articles

  1. Lukas Kremens & Ian Martin, 2019. "The Quanto Theory of Exchange Rates," American Economic Review, American Economic Association, vol. 109(3), pages 810-843, March.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Martin, Ian & Kremens, Lukas, 2017. "The Quanto Theory of Exchange Rates," CEPR Discussion Papers 11970, C.E.P.R. Discussion Papers.

    Cited by:

    1. Albert S. (Pete) & Karamfil Todorov, 2023. "The cumulant risk premium," BIS Working Papers 1128, Bank for International Settlements.
    2. Gordon Y. Liao & Tony Zhang, 2020. "The Hedging Channel of Exchange Rate Determination," International Finance Discussion Papers 1283, Board of Governors of the Federal Reserve System (U.S.).
    3. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2020. "The Term Structure of Covered Interest Rate Parity Violations," NBER Working Papers 27231, National Bureau of Economic Research, Inc.
    4. Andrew Lilley & Matteo Maggiori & Brent Neiman & Jesse Schreger, 2019. "Exchange Rate Reconnect," NBER Working Papers 26046, National Bureau of Economic Research, Inc.
    5. Tjeerd de Vries, 2021. "A Tale of Two Tails: A Model-free Approach to Estimating Disaster Risk Premia and Testing Asset Pricing Models," Papers 2105.08208, arXiv.org, revised Oct 2023.
    6. Martin, Ian & Ross, Stephen, 2018. "Notes on the Yield Curve," CEPR Discussion Papers 13176, C.E.P.R. Discussion Papers.
    7. Eren, Egemen & Malamud, Semyon, 2022. "Dominant currency debt," Journal of Financial Economics, Elsevier, vol. 144(2), pages 571-589.
    8. Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2020. "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," CEPR Discussion Papers 14986, C.E.P.R. Discussion Papers.
    9. Engel, Charles & Wu, Steve Pak Yeung, 2021. "Forecasting the U.S. Dollar in the 21st Century," CEPR Discussion Papers 15915, C.E.P.R. Discussion Papers.
    10. Martin, Ian & Wagner, Christian, 2016. "What is the Expected Return on a Stock?," CEPR Discussion Papers 11608, C.E.P.R. Discussion Papers.
    11. Breen, John David & Hu, Liang, 2021. "The predictive content of oil price and volatility: New evidence on exchange rate forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    12. Kyriazis, Nikolaos & Corbet, Shaen, 2024. "The role of international currency spillovers in shaping exchange rate dynamics in Latin America," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 1-10.
    13. Dahlquist, Magnus & Pénasse, Julien, 2022. "The missing risk premium in exchange rates," Journal of Financial Economics, Elsevier, vol. 143(2), pages 697-715.
    14. Gao, Can & Martin, Ian, 2021. "Volatility, valuation ratios, and bubbles: An empirical measure of market sentiment," SAFE Working Paper Series 312, Leibniz Institute for Financial Research SAFE.
    15. Fernanda Gonçalves & Giuliano Ferreira & Alex Ferreira & Pedro Scatimburgo, 2022. "Currency returns and systematic risk," Manchester School, University of Manchester, vol. 90(6), pages 609-647, December.
    16. Fan, Zhenzhen & Londono, Juan M. & Xiao, Xiao, 2022. "Equity tail risk and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 143(1), pages 484-503.
    17. Della Corte, Pasquale & Jeanneret, Alexandre & Patelli, Ella D.S., 2023. "A credit-based theory of the currency risk premium," Journal of Financial Economics, Elsevier, vol. 149(3), pages 473-496.
    18. Riccardo Colacito & Steven J. Riddiough & Lucio Sarno, 2019. "Business Cycles and Currency Returns," NBER Working Papers 26299, National Bureau of Economic Research, Inc.
    19. Martin, Ian, 2018. "Options and the Gamma Knife," LSE Research Online Documents on Economics 88077, London School of Economics and Political Science, LSE Library.
    20. Ian Martin, 2021. "On the Autocorrelation of the Stock Market [X-CAPM: An Extrapolative Capital Asset Pricing Model]," Journal of Financial Econometrics, Oxford University Press, vol. 19(1), pages 39-52.
    21. Dennij Mandeij, 2020. "Determination of Equilibrium Exchange Rate Rupiah Against US Dollar and its Volatility: Application of Asset Approach," International Journal of Business and Administrative Studies, Professor Dr. Bahaudin G. Mujtaba, vol. 6(6), pages 323-336.
    22. Charles W. Calomiris & Harry Mamaysky, 2019. "Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes," NBER Working Papers 25714, National Bureau of Economic Research, Inc.
    23. Fousseni Chabi-Yo & Chukwuma Dim & Grigory Vilkov, 2023. "Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks," Management Science, INFORMS, vol. 69(2), pages 922-939, February.
    24. Jonas Becker & Maik Schmeling & Andreas Schrimpf, 2024. "Global Bank Lending and Exchange Rates," BIS Working Papers 1161, Bank for International Settlements.
    25. Djeutem, Edouard & Dunbar, Geoffrey R., 2022. "Uncovered return parity: Equity returns and currency returns," Journal of International Money and Finance, Elsevier, vol. 128(C).
    26. Jun Wei, 2020. "Optimal Combination of Currency Assets and Algorithm Simulation under Exchange Rate Risk," Complexity, Hindawi, vol. 2020, pages 1-10, November.

Articles

  1. Lukas Kremens & Ian Martin, 2019. "The Quanto Theory of Exchange Rates," American Economic Review, American Economic Association, vol. 109(3), pages 810-843, March.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FOR: Forecasting (2) 2017-05-14 2018-09-03. Author is listed
  2. NEP-MON: Monetary Economics (2) 2017-05-14 2018-09-03. Author is listed
  3. NEP-FMK: Financial Markets (1) 2022-05-23. Author is listed
  4. NEP-OPM: Open Economy Macroeconomics (1) 2018-09-03. Author is listed

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