Currency carry trades and the conditional factor model
Year of publication: |
2019
|
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Authors: | Sakemoto, Ryuta |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 63.2019, p. 198-208
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Subject: | Conditional factor model | Currency carry trades | Nonparametric estimator | Time-varying beta | Schätzung | Estimation | Kapitaleinkommen | Capital income | Devisenmarkt | Foreign exchange market | Nichtparametrisches Verfahren | Nonparametric statistics | CAPM | Währungsspekulation | Currency speculation | Betafaktor | Beta risk |
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