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International correlation risk

Citations

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Cited by:

  1. Gavazzoni, Federico & Santacreu, Ana Maria, 2020. "International R&D spillovers and asset prices," Journal of Financial Economics, Elsevier, vol. 136(2), pages 330-354.
  2. Beber, Alessandro & Brandt, Michael, 2014. "Switching Risk Off: FX Correlations and Risk Premia," CEPR Discussion Papers 10214, C.E.P.R. Discussion Papers.
  3. Filippou, Ilias & Taylor, Mark P., 2021. "Pricing ethics in the foreign exchange market: Environmental, Social and Governance ratings and currency premia," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 66-77.
  4. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022. "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, vol. 124(C).
  5. Yang Liu & Mariano Croce & Ivan Shaliastovich & Ric Colacito, 2016. "Volatility Risk Pass-Through," 2016 Meeting Papers 135, Society for Economic Dynamics.
  6. Colacito, Riccardo & Riddiough, Steven J. & Sarno, Lucio, 2020. "Business cycles and currency returns," Journal of Financial Economics, Elsevier, vol. 137(3), pages 659-678.
  7. Shengnan Li & Edward P. K. Tsang & John O'Hara, 2022. "Measuring relative volatility in high‐frequency data under the directional change approach," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 29(2), pages 86-102, April.
  8. Filippou, Ilias & Taylor, Mark P., 2023. "Forward-Looking Policy Rules and Currency Premia," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 58(1), pages 449-483, February.
  9. Cenedese, Gino & Sarno, Lucio & Tsiakas, Ilias, 2014. "Foreign exchange risk and the predictability of carry trade returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 302-313.
  10. Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2014. "Conditional risk premia in currency markets and other asset classes," Journal of Financial Economics, Elsevier, vol. 114(2), pages 197-225.
  11. Jonathan Shomroni, 2022. "FX correlation trading: theory and practice," SN Business & Economics, Springer, vol. 2(9), pages 1-28, September.
  12. Lumengo Bonga-Bonga & Sefora Motena Rangoanana, 2022. "Carry Trade and Capital Market Returns in South Africa," JRFM, MDPI, vol. 15(11), pages 1-13, October.
  13. Aleksejs Krecetovs & Pasquale Della Corte, 2016. "Macro uncertainty and currency premia," 2016 Meeting Papers 624, Society for Economic Dynamics.
  14. Packham, Natalie & Woebbeking, Fabian, 2021. "Correlation scenarios and correlation stress testing," IRTG 1792 Discussion Papers 2021-012, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  15. Liu, Yang & Shaliastovich, Ivan, 2022. "Government policy approval and exchange rates," Journal of Financial Economics, Elsevier, vol. 143(1), pages 303-331.
  16. Nicole Branger & Matthias Muck & Stefan Weisheit, 2019. "Correlation risk and international portfolio choice," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 128-146, January.
  17. N. Packham & F. Woebbeking, 2021. "Correlation scenarios and correlation stress testing," Papers 2107.06839, arXiv.org, revised Sep 2022.
  18. Chazi, Abdelaziz & Samet, Anis & Azad, A.S.M. Sohel, 2023. "Volatility and correlation of Islamic and conventional indices during crises," Global Finance Journal, Elsevier, vol. 55(C).
  19. Iwanaga, Yasuhiro & Sakemoto, Ryuta, 2024. "Cross-momentum strategies in the equity futures and currency markets," Journal of International Money and Finance, Elsevier, vol. 148(C).
  20. Packham, Natalie & Woebbeking, Fabian, 2018. "A factor-model approach for correlation scenarios and correlation stress-testing," IRTG 1792 Discussion Papers 2018-034, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  21. Hassan, Ramin & Loualiche, Erik & Pecora, Alexandre R. & Ward, Colin, 2023. "International trade and the risk in bilateral exchange rates," Journal of Financial Economics, Elsevier, vol. 150(2).
  22. Andrews, Spencer & Colacito, Riccardo & Croce, Mariano M. & Gavazzoni, Federico, 2024. "Concealed carry," Journal of Financial Economics, Elsevier, vol. 159(C).
  23. Taylor, Mark & Filippou, Ilias & Gozluklu, Arie & Nguyen, My, 2020. "U.S. Populist Rhetoric and Currency Returns," CEPR Discussion Papers 15054, C.E.P.R. Discussion Papers.
  24. Fousseni Chabi-Yo & Riccardo Colacito, 2019. "The Term Structures of Coentropy in International Financial Markets," Management Science, INFORMS, vol. 65(8), pages 3541-3558, August.
  25. Helen Hui Huang & Yanjie Wang & Shunming Zhang, 2023. "Asset allocation, limited participation and flight‐to‐quality under ambiguity of correlation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4604-4626, October.
  26. Ornelas, José Renato Haas & Mauad, Roberto Baltieri, 2019. "Volatility risk premia and future commodity returns," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 341-360.
  27. Mykola Babiak & Jozef Barunik, 2021. "Currency Network Risk," Papers 2101.09738, arXiv.org, revised Jul 2021.
  28. Opie, Wei & Riddiough, Steven J., 2020. "Global currency hedging with common risk factors," Journal of Financial Economics, Elsevier, vol. 136(3), pages 780-805.
  29. Qin, Xiao, 2020. "Oil shocks and financial systemic stress: International evidence," Energy Economics, Elsevier, vol. 92(C).
  30. Koëter, Joren, 2021. "Essays on asset pricing, investor preferences, and derivative markets," Other publications TiSEM 9e88a66e-b972-4af3-91d6-0, Tilburg University, School of Economics and Management.
  31. Kräussl, Roman & Lehnert, Thorsten & Stefanova, Denitsa, 2016. "The European sovereign debt crisis: What have we learned?," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 363-373.
  32. Richard D. F. Harris & Xuguang Li & Fang Qiao, 2019. "Option‐implied betas and the cross section of stock returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 94-108, January.
  33. Piotr Rubaj, 2021. "Risk Mitigation in Business Activities on Emerging Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(4 - Part ), pages 699-712.
  34. Byrne, Joseph P. & Sakemoto, Ryuta, 2021. "The conditional volatility premium on currency portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  35. Joseph, Byrne & Sakemoto, Ryuta, 2020. "The Conditional Risk and Return Trade-Off on Currency Portfolios," MPRA Paper 99497, University Library of Munich, Germany.
  36. repec:ers:journl:v:xxiv:y:2021:i:4b:p:699-712 is not listed on IDEAS
  37. Herrera, Rodrigo & Piña, Marco, 2024. "Market risk modeling with option-implied covariances and score-driven dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
  38. Aleksandra Babii, 2019. "Exchange Rates Co-movement and International Trade," 2019 Meeting Papers 1150, Society for Economic Dynamics.
  39. Mirela Sandulescu & Fabio Trojani & Andrea Vedolin, 2021. "Model‐Free International Stochastic Discount Factors," Journal of Finance, American Finance Association, vol. 76(2), pages 935-976, April.
  40. Packham, N. & Woebbeking, C.F., 2019. "A factor-model approach for correlation scenarios and correlation stress testing," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 92-103.
  41. Cepni, Oguzhan & Emirmahmutoglu, Furkan & Guney, Ibrahim Ethem & Yilmaz, Muhammed Hasan, 2023. "Do the carry trades respond to geopolitical risks? Evidence from BRICS countries," Economic Systems, Elsevier, vol. 47(2).
  42. Packham, N. & Woebbeking, F., 2023. "Correlation scenarios and correlation stress testing," Journal of Economic Behavior & Organization, Elsevier, vol. 205(C), pages 55-67.
  43. Mykola Babiak & Jozef Barunik, 2021. "Uncertainty Network Risk and Currency Returns," CERGE-EI Working Papers wp687, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  44. Reitz, Stefan & Umlandt, Dennis, 2021. "Currency returns and FX dealer balance sheets," Journal of International Economics, Elsevier, vol. 133(C).
  45. Dennis Umlandt, 2020. "Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models," Working Paper Series 2020-06, University of Trier, Research Group Quantitative Finance and Risk Analysis.
  46. José Renato Haas Ornelas & Roberto Baltieri Mauad, 2017. "Volatility risk premia and future commodities returns," BIS Working Papers 619, Bank for International Settlements.
  47. Natalie Packham & Fabian Woebbeking, 2018. "A factor-model approach for correlation scenarios and correlation stress-testing," Papers 1807.11381, arXiv.org, revised Jan 2019.
  48. Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries, 2020. "Currency Futures' Risk Premia and Risk Factors," Discussion Papers of DIW Berlin 1866, DIW Berlin, German Institute for Economic Research.
  49. Kalyvas, Antonios & Papakyriakou, Panayiotis & Sakkas, Athanasios & Urquhart, Andrew, 2020. "What drives Bitcoin’s price crash risk?," Economics Letters, Elsevier, vol. 191(C).
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