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- W3124552011 abstract "We investigate the intertemporal risk-return trade-off of foreign exchange (FX) rates for ten currencies quoted against the USD. For each currency, we use three risk measures simultaneously that pertain to that currency; its realized volatility, its realized skewness, and its value-at-risk. We apply monthly FX excess returns and risk measures calculated from daily observations. We find that there is a significant contemporaneous risk-return trade-off for the currencies under investigation. There is no evidence of noncontemporaneous risk-return trade-off. We pay special attention to the risk-return trade-off during the recent financial crisis." @default.
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- W3124552011 date "2011-10-01" @default.
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- W3124552011 title "Intertemporal risk-return trade-off in foreign exchange rates" @default.
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- W3124552011 doi "https://doi.org/10.1016/j.intfin.2011.02.001" @default.
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