Exchange rate and inflation risk premia in the EMU

DOI10.1080/14697688.2010.488810MaRDI QIDQ2869983zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

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

Cited in

(10)

• 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 and the stability and volatility of foreign exchange: some empirical evidence
• Exchange rate risk and interest rate: A case study for Turkey
• Neural network models for inflation forecasting: a revisit
• EMU stability: direct and indirect risk sharing
• Euro-zone equity returns: country versus industry effects
• Global risks in the currency market
• How Will EMU Affect Inflation and Unemployment in Europe?
• Competition and inflation differentials in EMU

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