The conditional volatility premium on currency portfolios
Year of publication: |
2021
|
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Authors: | Byrne, Joseph P. ; Sakemoto, Ryuta |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 74.2021, p. 1-18
|
Subject: | Systematic risk | Currency carry trade | Momentum | Value | Conditional factor model | Currency variability | Volatilität | Volatility | Kapitaleinkommen | Capital income | Schätzung | Estimation | Risikoprämie | Risk premium | Portfolio-Management | Portfolio selection | Devisenmarkt | Foreign exchange market | Währungsspekulation | Currency speculation | CAPM | Wechselkurs | Exchange rate |
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