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On the predictability of the distribution of excess returns in currency markets
Cho, Dooyeon - In: International journal of forecasting 37 (2021) 2, pp. 511-530
Persistent link: https://www.econbiz.de/10012792849
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Cross-asset return predictability : carry trades, stocks and commodities
Lu, Helen; Jacobsen, Ben - In: Journal of international money and finance 64 (2016), pp. 62-87
Persistent link: https://www.econbiz.de/10011668380
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Currency returns and systematic risk
Gonçalves, Fernanda; Ferreira, Giuliano de Queiroz; … - In: The Manchester School 90 (2022) 6, pp. 609-647
Persistent link: https://www.econbiz.de/10013414307
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Cyclical and persistent carry trade returns and forward premia
Zoubi, Haitham al- - In: The quarterly journal of finance 7 (2017) 4, pp. 1-33
Persistent link: https://www.econbiz.de/10011774154
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Tales of tails : jumps in currency markets
Lee, Suzanne S.; Wang, Minho - In: Journal of financial markets 48 (2020), pp. 1-29
Persistent link: https://www.econbiz.de/10012631807
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Predictability of currency carry trades and asset pricing implications
Bakshi, Gurdip S.; Panayotov, George - In: Journal of financial economics 110 (2013) 1, pp. 139-163
Persistent link: https://www.econbiz.de/10010207758
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Foreign Exchange Risk and the Predictability of Carry Trade Returns
Cenedese, Gino - 2014
losses, which is consistent with the unwinding of the carry trade in times of high volatility. The decomposition of market … variance into average variance and average correlation shows that the predictive power of market variance is primarily due to … average variance since average correlation is not significantly related to carry trade returns. Finally, a new version of the …
Persistent link: https://www.econbiz.de/10013066169
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Three essays on international finance
Borisenko, Dmitrij - 2019
-commodity price covariance, procyclical interest rates, negative price of exchange rate volatility, and countercyclical currency risk …
Persistent link: https://www.econbiz.de/10011992377
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Conditioning carry trades : less risk, more return
Mulder, Arjen; Tims, Ben - In: Journal of international money and finance 85 (2018), pp. 1-19
Persistent link: https://www.econbiz.de/10012000369
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Violations of uncovered interest rate parity and international exchange rate dependences
Ames, Matthew; Bagnarosa, Guillaume; Peters, Gareth - In: Journal of international money and finance 73 (2017), pp. 162-187
Persistent link: https://www.econbiz.de/10011787712