How a single-factor CAPM works in a multi-currency world

DOI10.1017/ASB.2015.22MaRDI QIDQ4563763zbMATH OpenOpenAlexFDO

Authors

Publication date 4 June 2018

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/asb.2015.22

zbMATH Keywords

international CAPMsingle-factor multi-currency CAPM (SFM-CAPM)

Mathematics Subject Classification ID

Recommendations

• Global and regional risks in currency returns
• Global risks in the currency market
• Design and Estimation of Multi-Currency Quadratic Models*
• Multifactor modelling in asset management
• Application of intertemporal CAPM on international corporate finance

Cites work

• Stochastic models for actuarial use the equilibrium modelling of local markets

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