Demirer, Rıza; Gupta, Rangan; Hassani, Hossein; Huang, Xu - In: Economies 8 (2020) 1, pp. 1-12
This paper examines the predictive power of time-varying risk aversion over payoffs to the carry trade strategy via the cross-quantilogram methodology. Our analysis yields significant evidence of directional predictability from risk aversion to daily carry trade returns tracked by the Deutsche...