Conditional Risk Premia in Currency Markets and Other Asset Classes
收藏NBER2013-02-01 更新2025-01-04 收录
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https://www.nber.org/papers/w18844
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资源简介：
The downside risk CAPM (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also high, than it is conditional on good market returns.
提供机构：
美国国家经济研究局
创建时间：
2013-02-01
