City Research Online

Items where Author is "Della Corte, P."

Up a level
Export as [feed] RSS 2.0 [feed] RSS
Group by: Type | No Grouping
Number of items: 8.

Della Corte, P., Kozhan, R. & Neuberger, A. ORCID: 0000-0002-5344-1083 (2020). The Cross-Section of Currency Volatility Premia. Journal of Financial Economics, doi: 10.1016/j.jfineco.2020.08.010

Della Corte, P., Ramadorai, T. & Sarno, L. (2016). Volatility Risk Premia and Exchange Rate Predictability. Journal of Financial Economics, 120(1), pp. 21-40. doi: 10.1016/j.jfineco.2016.02.015

Della Corte, P., Riddiough, S. J. & Sarno, L. (2016). Currency Premia and Global Imbalances. Review of Financial Studies, 29(8), pp. 2161-2193. doi: 10.1093/rfs/hhw038

Della Corte, P., Sarno, L., Schmeling, M. & Wagner, C. (2013). Exchange Rates and Sovereign Risk. SSRN.

Della Corte, P., Sarno, L. & Tsiakas, I. (2012). Volatility and Correlation Timing in Active Currency Management. In: James, J., Marsh, I. W. & Sarno, L. (Eds.), Handbook of Exchange Rates. (pp. 421-447). New Jersey, USA: Wiley. doi: 10.1002/9781118445785.ch15

Della Corte, P., Sarno, L. & Tsiakas, I. (2011). Spot and forward volatility in foreign exchange. Journal of Financial Economics, 100(3), pp. 496-513. doi: 10.1016/j.jfineco.2011.01.007

Sarno, L., Della Corte, P. & Tsiakas, I. (2009). An Economic Evaluation of Empirical Exchange Rate Models. Review of Financial Studies, 22(9), pp. 3491-3530. doi: 10.1093/rfs/hhn058

Della Corte, P., Sarno, L. & Thornton, D. L. (2007). The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value (6445). Centre for Economic Policy Research. doi: 6445

This list was generated on Mon Jan 24 05:42:52 2022 UTC.