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Publications by Shaun Roache

Currency Risk Premia in Global Stock Markets

IMF Working Papers

English

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Conditional Risk Premia in Currency Markets and Other Asset Classes

Journal of Financial Economics

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Currency Premia and Global Imbalances

SSRN Electronic Journal

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Currency Premia and Global Imbalances

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Sources of Time Varying Risk and Risk Premia in U.S. Stock and Bond Markets

SSRN Electronic Journal

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Crash Risk in Currency Markets

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Distress Risk Premia in Stock and Bond Returns

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Time Varying Risk Premia in Corporate Bond Markets

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Is the Currency Risk Priced in Equity Markets?

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Determinants of Hedging and Risk Premia in Commodity Futures Markets

Journal of Financial and Quantitative Analysis

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