The main goal of this article is to provide an answer to the question: does anything forecast
exchange rates, and if so, which variables? It is well known that exchange rate fluctuations …

Forward exchange rate unbiasedness is rejected in tests from the current floating exchange
rate era. This paper surveys advances in this area since the publication of Hodrick's (1987) …

The paper examines the role of green bonds in hedging the risk against industry portfolios
and other major asset classes. It mainly focuses on how the greenness of the portfolio …

Most research on hedging has disregarded both the long-run cointegrating relationship
between financial assets and the dynamic nature of the distributions of the assets. This study …

This paper provides a survey and review of the major econometric work on long memory
processes, fractional integration, and their applications in economics and finance. Some of …

Three types of tests are discussed. First we consider the same linear restrictions on all
cointegration relations, then we consider the hypothesis that certain relations are assumed …

The multinational corporation is a network of activities located in different countries. The
value of this network derives from the opportunity to benefit from uncertainty through the …

The paper aims to investigate the existence of financial contagion between China and its
major trading partners during the ongoing COVID-19 pandemic using the multivariate ADCC …

Market Risk Analysis is the most comprehensive, rigorous and detailed resource available
on market risk analysis. Written as a series of four interlinked volumes each title is self …

The paper provides a survey of the work that has been done in financial econometrics in the
past decade. It proceeds by first establishing a set of stylized facts that are characteristics of …