The time-varying risk price of currency portfolios
Year of publication: |
2022
|
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Authors: | Byrne, Joseph P. ; Ibrahim, Boulis Maher ; Sakemoto, Ryuta |
Published in: |
Journal of international money and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0261-5606, ZDB-ID 872014-9. - Vol. 124.2022, p. 1-14
|
Subject: | Currency carry trades | Factor model | Nonparametric model | Risk price | Time-varying betas | CAPM | Risikoprämie | Risk premium | Schätzung | Estimation | Theorie | Theory | Portfolio-Management | Portfolio selection | Nichtparametrisches Verfahren | Nonparametric statistics | Kapitaleinkommen | Capital income | Devisenmarkt | Foreign exchange market | Betafaktor | Beta risk | Währungsspekulation | Currency speculation | Währungsrisiko | Exchange rate risk |
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