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Risk-adjusted return managed carry trade
Dupuy, Philippe - In: Journal of banking & finance 129 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012822247
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The tail risk premia of the carry trades
Dupuy, Philippe - In: Journal of international money and finance 59 (2015), pp. 123-145
Persistent link: https://www.econbiz.de/10011478289
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Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions
Baillie, Richard; Kim, Kun Ho - In: Journal of empirical finance 34 (2015), pp. 99-111
Persistent link: https://www.econbiz.de/10011557073
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Attractive and non-attractive currencies
Dupuy, Philippe; James, Jessica; Marsh, Ian W. - In: Journal of international money and finance 110 (2021), pp. 1-30
Persistent link: https://www.econbiz.de/10012794951
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A new test for market efficiency and uncovered interest parity
Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - In: Journal of international money and finance 130 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014248790
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Capital asset pricing model : a time-varying volatility approach
Kim, Kun Ho; Kim, Taejin - In: Journal of empirical finance 37 (2016), pp. 268-281
Persistent link: https://www.econbiz.de/10011663058