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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...
Persistent link: https://www.econbiz.de/10013199647
Persistent link: https://www.econbiz.de/10012035019
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...
Persistent link: https://www.econbiz.de/10012237397
Persistent link: https://www.econbiz.de/10012267071
We use a copula approach to investigate the effect of uncertainty on crude-oil returns. Using copulas to construct … multivariate distributions of time-series data permit the calculation of the dependence structure between the series independently … periods of time. That is, we find a positive dependence prior to and into the financial crisis and Great Recession …
Persistent link: https://www.econbiz.de/10011165591
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