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Multivariate return decomposition: Theory and implications
Anatolyev, Stanislav; Gospodinov, Nikolay - 2015
directions are linked through a 2m-dimensional copula. The approach is detailed in the case of a bivariate decomposition. We …
Persistent link: https://www.econbiz.de/10011460618
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Foreign exchange predictability during the financial crisis: Implications for carry trade profitability
Anatolyev, Stanislav; Gospodinov, Nikolay; Jamali, Ibrahim - 2015
In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...
Persistent link: https://www.econbiz.de/10011460619
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Multivariate return decomposition : theory and implications
Anatolyev, Stanislav; Gospodinov, Nikolaj - In: Econometric reviews 38 (2019) 5, pp. 487-508
Persistent link: https://www.econbiz.de/10012181325
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Foreign exchange predictability and the carry trade : a decomposition approach
Anatolyev, Stanislav; Gospodinov, Nikolaj; Jamali, Ibrahim - In: Journal of empirical finance 42 (2017), pp. 199-211
Persistent link: https://www.econbiz.de/10011808567
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Multivariate return decomposition : theory and implications
Anatolyev, Stanislav; Gospodinov, Nikolaj - 2015
directions are linked through a 2m-dimensional copula. The approach is detailed in the case of a bivariate decomposition. We …
Persistent link: https://www.econbiz.de/10011313230
Cover Image
Foreign exchange predictability during the financial crisis : implications for carry trade profitability
Anatolyev, Stanislav; Gospodinov, Nikolaj; Jamali, Ibrahim - 2015
In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...
Persistent link: https://www.econbiz.de/10011313235