Exchange rate predictability, common factors, and applications in carry trade
Year of publication: |
2020
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Authors: | Ogruk-Maz, Gokcen ; Wu, Shengxiong ; Yildirim, Sinan |
Published in: |
International journal of monetary economics and finance : IJMEF. - Genève [u.a.] : Inderscience Enterprises, ISSN 1752-0487, ZDB-ID 2471959-6. - Vol. 13.2020, 6, p. 513-530
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Subject: | carry trading strategies | common factors | exchange rate forecasting | common risk factors | carry factor | simulation | macro-fundamentals augmented models | factor augmented models | Taylor rule | emerging markets | Sharpe ratio | Wechselkurs | Exchange rate | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Welt | World | Schwellenländer | Emerging economies | Devisenmarkt | Foreign exchange market | Währungsspekulation | Currency speculation | Faktorenanalyse | Factor analysis | Zeitreihenanalyse | Time series analysis | Portfolio-Management | Portfolio selection | Währungsrisiko | Exchange rate risk | Schätzung | Estimation |
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