Asymmetry and time variation in exchange rate exposure

Purpose - The purpose of this paper is to provide some insights into the exchange rate exposure of Australian stock returns.Design methodology approach - Using a dynamic econometric approach that allows for both asymmetry and time-varying risk exposures in both the exchange rate variable and the mar...

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Veröffentlicht in:	International journal of commerce and management 2010-11, Vol.20 (4), p.276-295
Hauptverfasser:	Brooks, Robert D, Di Iorio, Amalia, Faff, Robert W, Fry, Tim, Joymungul, Yovina
Format:	Artikel
Sprache:	eng
Schlagworte:	Australia Exchange rates Risk management Stock markets Stock returns
Online-Zugang:	Volltext
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