International Capital Markets and Foreign Exchange Risk
By Michael J. Brennan, Yihong Xia. 2004
132 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/d3a92d6669d984d33d501f9944224ebf695df4a0
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In Economics and Econometrics
- Liuren Wu
- Peter P. Carr
- Paul Schneider
- Christian Wagner
- Gurdip Bakshi
- Lucio Sarno
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In Finance
- Liuren Wu
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Citations in the corpus
- Common Risk Factors in Currency Markets (2011, unknown): “Our model has an exponentially affine pricing kernel and therefore shares some features with other models in this class, such as those proposed by Frachot (1996),Brennan and Xia(2006), and, in particular, Backus, Foresi, and Telmer (2001).”
- Global Yield Curve Dynamics and Interactions : A Dynamic (2007, background): “…and extended by us to 2005.08, consist of government bond prices, coupon rates, and coupon structures, as 2 Our zero-coupon bond yields are highly correlated with those obtained by Brennan and Xia (2006), who use a cubic spline and maturities of 3, 6, 12, 24, 36, 60, 84, 96, 108 and 120 months.”
- Properties of Foreign Exchange Risk Premiums (2012, methodology): “…variables on state prices in different countries or negative nominal interest rates with positive probability) as well as the relations emphasized by Brennan and Xia (2006) in their essentially affine model (association between volatilities of pricing kernels, exchange rates, and risk premiums).”
- Countercyclical Currency Risk Premia (2013, unknown): “Models in this class have been applied to currency markets by Frachot (1996), Backus, Foresi and Telmer (2001), Brennan and Xia (2006), and Lustig, Roussanov and Verdelhan (2011).”
- Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies (2008, background): “…risk premiums, e.g., Fama (1984), Bekaert and Hodrick (1992), McCurdy and Morgan (1992), Dumas and Solnik (1995),Saá-Requejo (1995), Engel (1996), Bansal (1997), Backus,Foresi, and Telmer (2001), Brandt and Santa-Clara (2002), Brandt, Cochrane, and Santa-Clara (2006), and Brennan and Xia (2006).”