Can implied volatility predict returns on the currency carry trade?
Year of publication: |
October 2015
|
---|---|
Authors: | Egbers, Tom ; Swinkels, Laurens |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 59.2015, p. 14-26
|
Subject: | Currency carry trade | Exchange rates | Implied volatility | Market timing | VIX | VXY | Volatilität | Volatility | Kapitaleinkommen | Capital income | Wechselkurs | Exchange rate | Devisenmarkt | Foreign exchange market | Prognose | Forecast | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Währungsspekulation | Currency speculation |
-
Foreign exchange risk and the predictability of carry trade returns
Cenedese, Gino, (2014)
-
Predictability of currency carry trades and asset pricing implications
Bakshi, Gurdip S., (2013)
-
Anatolyev, Stanislav, (2015)
- More ...
-
The impact of FinTech start-ups on incumbent retail banks' share prices
Li, Yinqiao, (2017)
-
The economic value of fundamental and technical information in emerging currency markets
Zwart, Gerben de, (2007)
-
Fundamental indexation : an active value strategy in disguise
Blitz, David, (2008)
- More ...