Portfolio Choice with Special Features最新文献

筛选
英文 中文
Quantile Regression Analysis of Exchange Rate Exposure in Cross-Country Sector Portfolios 跨国行业投资组合中汇率风险的分位数回归分析
Portfolio Choice with Special Features Pub Date : 2011-09-19 DOI: 10.2139/ssrn.1934591
Abs Gulati
{"title":"Quantile Regression Analysis of Exchange Rate Exposure in Cross-Country Sector Portfolios","authors":"Abs Gulati","doi":"10.2139/ssrn.1934591","DOIUrl":"https://doi.org/10.2139/ssrn.1934591","url":null,"abstract":"This study empirically examines the robustness of impact of exchange rate exposure on cross-country sectors portfolios using the quantile regression approach. The parts of the return distribution in which the investors and risk managers are interested are at extreme outcomes in the tails, which go beyond the mean values. Therefore, quantile regression approach seems more appropriate. We analyzed bilateral (Swedish Kroner and Euro currencies) exchange-rate exposure and its impact on similar sectors across small, open and export-oriented economies of Sweden and Finland. These two countries represent an interesting case study as they have similar industrial structure, yet Sweden uses its Swedish Kroner, whereas Finland has joined the euro in 1999. The results from our analysis indicate that Finnish Sector portfolios have a greater impact of exchange rate movements with regards to the Swedish excess return portfolios and global market index return in the post-euro period. The estimated quantiles results in comparison to the least squares results are more robust, which are consistent with previous literature.","PeriodicalId":161921,"journal":{"name":"Portfolio Choice with Special Features","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128276686","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信