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The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective. (1994). Bekaert, Geert.
In: NBER Working Papers.
RePEc:nbr:nberwo:4818.

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  1. The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic approach to investigating the foreign exchange forward premium volatility. (2016). Hamzaoui, Nessrine ; Regaieg, Boutheina.
    In: International Journal of Economics and Financial Issues.
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  2. Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach. (2014). Li, Junye ; Yin, Weiwei .
    In: Journal of International Money and Finance.
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  3. Time-varying international diversification and the forward premium. (2014). Jonen, Benjamin ; Scheuring, Simon .
    In: Journal of International Money and Finance.
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  4. Can time-varying risk premiums explain the excess returns in the interest rate parity condition?. (2014). Lee, Sanglim ; Aysun, Uluc.
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  5. Estimation of long-run parameters in unbalanced cointegration. (2014). Hualde, Javier.
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  6. International risk cycles. (2013). Verdelhan, Adrien ; Siemer, Michael ; Gourio, Francois.
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  7. Beyond Co-Integration: Modelling Co-Movements in Macro finance. (2012). Talmain, Gabriel ; Abadir, Karim.
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  8. Estimation of the Time-Varying Risk Premium in the Czech Foreign Exchange Market. (2012). Pota, Vit .
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  9. Variance Risk Premium Differentials and Foreign Exchange Returns. (2012). Aloosh, Arash ; Arash, Aloosh .
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  13. Properties of foreign exchange risk premiums. (2012). Wagner, Christian ; Sarno, Lucio ; Schneider, Paul.
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  19. Risk-Premia, Carry-Trade Dynamics, and Economic Value of Currency Speculation. (2009). Wagner, Christian.
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  48. Conditioning Information and Variance on Pricing Kernals. (2001). LIU, JUN ; Bekaert, Geert.
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  51. The forward discount anomaly and the risk premium: A survey of recent evidence. (1996). Engel, Charles.
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  24. Empirical Pricing Kernels. (2000). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-014.

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  25. Incomplete markets, borrowing constraints, and the foreign exchange risk premium. (2000). Leduc, Sylvain.
    In: Working Papers.
    RePEc:fip:fedpwp:00-3.

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  26. Money, interest rates, and exchange rates with endogenously segmented markets. (2000). Kehoe, Patrick ; Atkeson, Andrew ; Alvarez, Fernando.
    In: Staff Report.
    RePEc:fip:fedmsr:278.

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  27. The stock market and capital accumulation. (2000). Hall, Robert.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2000:i:apr:x:3.

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  28. Evaluating Asset Pricing Implications of DSGE Models. (2000). Schorfheide, Frank ; Reffett, Kevin.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1630.

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  29. Estimating Nonseparable Preference Specifications for Asset Market Participants. (2000). Jacobs, Kris.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1472.

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  30. Testing Affine Term Structure Models in Case of Transaction Costs. (2000). Nijman, Theo ; Melenberg, Bertrand ; Driessen, Joost.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0553.

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  31. Tail Estimation and Catastrophe Security Pricing: Can We Tell What Target We Hit if We Are Shooting in the Dark?. (1999). Moore, James F..
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:99-14.

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  32. Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence. (1999). Constantinides, George ; Brav, Alon ; Geczy, Christopher C..
    In: CRSP working papers.
    RePEc:wop:chispw:505.

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  33. The Stock Market and Capital Accumulation. (1999). Hall, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7180.

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  34. Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence. (1999). Constantinides, George ; Brav, Alon ; Geczy, Christopher C..
    In: Rodney L. White Center for Financial Research Working Papers.
    RePEc:fth:pennfi:23-99.

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  35. Price Functionals with Bid-Ask Spreads: An Axiomatic Approach. (1999). Jouini, Elyès.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-038.

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  36. Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise. (1998). Wu, Yangru ; Mark, Nelson.
    In: Working Papers.
    RePEc:osu:osuewp:98-05.

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  37. Multinationals and the Gains from International Diversification. (1998). Tesar, Linda ; Rowland, Patrick F..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6733.

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  38. LAPM: A Liquidity-based Asset Pricing Model. (1998). Tirole, Jean ; Holmstrom, Bengt.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6673.

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  39. Asset Holding and Consumption Volatility. (1998). Smith, Sarah ; Banks, James ; Attanasio, Orazio ; Tanner, Sarah.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6567.

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  40. Consumption-based modeling of long-horizon returns. (1998). Marshall, David ; DANIEL, KENT D..
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-98-18.

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  41. Bubbles or noise? Reconciling the results of broad-dividend variance-bounds tests. (1998). TeSelle, Garrett.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:1998-42.

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  42. Option Hedging Using Empirical Pricing Kernels. (1997). Rosenberg, Joshua ; Engle, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6222.

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  43. Robust Permanent Income and Pricing. (1997). Tallarini, Thomas ; Sargent, Thomas ; Hansen, Lars.
    In: Levine's Working Paper Archive.
    RePEc:cla:levarc:596.

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  44. Testing calibrated general equilibrium models. (1996). Ortega, Eva ; Canova, Fabio.
    In: Economics Working Papers.
    RePEc:upf:upfgen:166.

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  45. Risk, Policy Rules, and Noise: Rethinking Deviations From Uncovered Interest Parity. (1996). .
    In: Working Papers.
    RePEc:osu:osuewp:014.

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  46. Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance. (1996). Ferson, Wayne ; Glassman, Debra A. ; Christopherson, Jon A..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5830.

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  47. Structural Change and Asset Pricing in Emerging Markets. (1996). Ghysels, Eric ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:96s-34.

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  48. Testing asset pricing models with Euler equations: its worse than you think. (1995). Neely, Christopher.
    In: Working Papers.
    RePEc:fip:fedlwp:1995-018.

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  49. On Stable Factor Structures in the Pricing of Risk. (1995). Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-16.

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  50. Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles. (1994). Garcia, René ; Bonomo, Marco.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:94s-14.

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