Francesco Giurda

ABN AMRO Bank N.V.

250 Bishopsgate

London, EC2M 4AA

United Kingdom

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Scholarly Papers (1)

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Is the Currency Risk Priced in Equity Markets?

Queen Mary, University of London Economics Working Paper No. 511
Number of pages: 26 Posted: 07 Mar 2004
Francesco Giurda and Elias Tzavalis
ABN AMRO Bank N.V. and University of London - Queen Mary - Department of Economics
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Abstract:

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International asset pricing, Currency risk, Multivariate EGARCH, Density forecast, Dynamic hedging strategies