Momentum in stock market returns, risk premia on foreign currencies and international financial integration
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More about this item
Keywords
Currency returns; financial integration; momentum; risk premia; UIP;All these keywords.
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2009-03-14 (Risk Management)
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