An analysis of asymmetry in foreign currency exposure of the Australian equities market

By A. Iorio, R. Faff. 2000

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Asymmetric Exchange Rate Exposure: Theory and Evidence (2003, background): “2 Choi and Prasad (1995); Baba and Fukao (2000), and Di Iorio and Faff (2000) are the only papers that have attempted to model asymmetric responses to currency appreciations and depreciations.”
Foreign exchange risk exposure: Survey and suggestions (2006, methodology): “(2001), Dominguez and Tesar (2001a,b) and Starks and Wei (2003). Another difficulty with using Jorion’s augmented market model is the definition of the exchange risk factor23.”