La prime de risque dans un cadre international : le risque de change est-il apprécié ?

Preprint French OPEN
Arouri , Mohamed El Hedi (2009)
  • Publisher: HAL CCSD
  • Subject: [ QFIN.PM ] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM]

In this article, we investigate whether exchange rate risk is priced. We use a multivariate GARCH-in-Mean specification and test alternative conditional international CAPM versions. Our results support strongly the international asset-pricing model that includes exchang... View more
Share - Bookmark