Pricing Currency Risk in Two Interlinked Stock Markets
We investigate the role of currency risk on stock markets in two interlinked Nordic countries exhibiting a gradual move from fixed to floating exchange rate regime. Tests are conducted for a conditional asset pricing model using the Ding and Engle (2001) specification which allows estimation of mult...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Tuwhera Open Access Publisher
2016-07-01
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| Series: | Applied Finance Letters |
| Subjects: | |
| Online Access: | https://ojs.aut.ac.nz/applied-finance-letters/article/view/2 |