Exchange rate and inflation risk premia in the EMU

DOI10.1080/14697688.2010.488810zbMATH Open1279.91189OpenAlexW2087285185MaRDI QIDQ2869983FDOQ2869983

B. Font, Alfredo Juan Grau

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10550/63322

zbMATH Keywords

exchange rate riskinflation riskEuropean Unioninternational asset pricingrisk premiumstime-varying beta risks

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Cited In (8)

• Competition and inflation differentials in EMU
• Exchange rate risk and interest rate: A case study for Turkey
• From the EMS to EMU: Has There Been Any Change in the Behaviour of Exchange Rate Correlation?
• The Pricing of Time-Varying Exchange Rate Risk in the Stock Market: A Nonparametric Approach
• EMU stability: direct and indirect risk sharing
• EMU and the stability and volatility of foreign exchange: some empirical evidence
• Neural network models for inflation forecasting: a revisit
• How Will EMU Affect Inflation and Unemployment in Europe?

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