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 …

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 …

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

The main objective of this paper is to investigate the diversification role of currency momentum for carry trade … the practices of currency portfolio management during times of heightened financial uncertainty …