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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

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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

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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

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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

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Tales of tails : jumps in currency markets

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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