Foreign exchange risk and the predictability of carry trade returns
Year of publication: |
2014
|
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Authors: | Cenedese, Gino ; Sarno, Lucio ; Tsiakas, Ilias |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 42.2014, p. 302-313
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Subject: | Exchange rates | Carry trade | Market variance | Average variance | Average correlation | Quantile regression | Wechselkurs | Exchange rate | Währungsspekulation | Currency speculation | Währungsrisiko | Exchange rate risk | Schätzung | Estimation | Volatilität | Volatility | Devisenmarkt | Foreign exchange market | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Risikoprämie | Risk premium | Regressionsanalyse | Regression analysis | Korrelation | Correlation | Schätztheorie | Estimation theory |
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