کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
964118 930480 2011 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Intertemporal risk-return trade-off in foreign exchange rates
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Intertemporal risk-return trade-off in foreign exchange rates
چکیده انگلیسی
We investigate the intertemporal risk-return trade-off of foreign exchange (FX) rates for ten currencies quoted against the USD. For each currency, we use three risk measures simultaneously that pertain to that currency; its realized volatility, its realized skewness, and its value-at-risk. We apply monthly FX excess returns and risk measures calculated from daily observations. We find that there is a significant contemporaneous risk-return trade-off for the currencies under investigation. There is no evidence of noncontemporaneous risk-return trade-off. We pay special attention to the risk-return trade-off during the recent financial crisis.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 21, Issue 4, October 2011, Pages 535-549
نویسندگان
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