Claude B. Erb
First Chicago NBD Investment Management Co., Chicago, IL
Campbell R. Harvey
Duke University, Durham, NC 27708
National Bureau of Economic Research, Cambridge, MA
Tadas E. Viskanta
First Chicago NBD Investment Management Co., Chicago, IL
ABSTRACT
This monograph details the various approaches to estimating country risk with a focus on emerging markets. We connect these methods with ways to generate expected costs of capital for projects with risk identical to the country indices that we study. We also detail the implications of our method for volatility and correlation.