We analyze the worst currency carry loss episodes in recent decades, including causes, attribution by currency, timing …

We sort currencies by countries' consumption growth over the past four quarters. Currency portfolios of countries … characteristics (consumption, interest rates) and also does well on the cross section of bilateral currency movements. Eventually, a …

flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return … components, which exhibit much greater predictability than raw returns. We allow the two components to respond to currency …-adjusted) profitability when trading individual currencies or forming currency portfolios based on the predicted returns from the …

fluctuations of the yen-dollar exchange rate. I show first that these models would have exploited exchange rate trends quite … demand pressure on currency markets since they are mostly on the same side of the market. When technical models produce …

In this paper, we analyse the relationship between the currency carry return and volatility and liquidity risk factors … outperformance for volatility ones especially the global FX volatility risk factor. Consistent with the poor performance of currency …

We analyze the worst currency carry loss episodes in recent decades, including causes, attribution by currency, timing …

This article presents an overview of widely practiced short-term multi-currency investment strategies such as carry …

three important results. First, a currency pair is predicted to have greater excess returns if option-implied returns are … more volatile, are more left-skewed, and have fatter tails than the returns of other currency pairs. Second, strategies …. Third, if the option-implied returns of a currency pair are more left-skewed than in the past, anti-carry trades rather than …