Handbook of Exchange Rates

References

Abhyankar A, Sarno L, Valente G. Exchange rates and fundamentals: evidence on the economic value of predictability. J Int Econ 2005;66:325–348.

Ang A, Bekaert G. International asset allocation with regime shifts. Rev Financ Stud 2002;15:1137–1187.

Ang A, Chen J. Asymmetric correlations of equity portfolios. J Financ Econ 2002;63:443–494.

Avramov D. Stock return predictability and model uncertainty. J Financ Econ 2002;64:423–458.

Barberis N. Investing for the long run when returns are predictable. J Finance 2000;55:225–264.

Bauwens L, Laurent S. A new class of multivariate skew densities with application to generalized autoregressive conditional heteroskedasticity models. J Bus Econ Stat 2005;23:346–354.

Bollerslev T. Generalized autoregressive conditional heteroskedasticity. J Economet 1986;31:307–327.

Bollerslev T. Modeling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model. Rev Econ Stat 1990;72:498–505.

Bollerslev T, Engle RF, Wooldridge JM. A capital asset pricing model with time varying covariances. J Pol Econ 1988;96:116–131.

Brandt MW. Portfolio choice problems. In: Ait-Sahalia Y, Hansen LP, editors. Handbook of financial econometrics. New York: Elsevier; 2009.

Brandt MW, Goyal A, Santa-Clara P, Stroud JR. A simulation approach to dynamic portfolio choice with an application to learning about return predictability. Rev Financ Stud 2005;18:831–873.

Buraschi A, Porchia P, Trojani F. Correlation risk and optimal portfolio choice. ...