An Economic Evaluation of Empirical Exchange Rate Models

By Pasquale Della Corte, Lucio Sarno, I. Tsiakas. 2009

288 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/ed7a12caee446d3a0d2de541c7b268bcb29704ac

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Christian Wagner
2. Paul Schneider
3. Lucio Sarno
4. Mark P. Taylor

Citations in the corpus

• Properties of Foreign Exchange Risk Premiums (2012, methodology): “For a recent application of the MFIV concept to foreign exchange markets see Della Corte et al. (2011). (24)Since the data provides implied volatilities and deltas, but not prices directly, we infer strike prices from deltas and implied volatilities and calculate option prices using Garman and Kohlh”
• Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective (2010, unknown): “Instead a break-even transaction cost, BE i.e., the one that renders investors indi¤erent between two competing strategies (Han, 2006; Della Corte et al., 2009) is computed.”
• Sparse and Stable Portfolio Selection With Parameter Uncertainty (2015, unknown): “Due to the FX component, the excess return Rt+1 of a foreign bond is risky at time t (see, e.g., Della Corte, Sarno, and Tsiakas 2009).”