We advocate the use of absolute moment ratio statistics in conjunctionwith standard variance ratio statistics in order to disentangle lineardependence, non-linear dependence, and leptokurtosis in financial timeseries. Both statistics are computed for multiple return horizonssimultaneously, and...

There are no established benchmarks for evaluating currency investment manager performance. Some analysts have suggested that known investing styles like momentum, purchasing power parity, and carry serve as benchmarks. Challenges for this approach include: there is no market portfolio; there...

Although, according to uncovered interest rate parity, exchange rates should move so as to prevent the carry trade being systematically profitable, there is a vast empirical literature demonstrating the opposite. High interest currencies more often tend to appreciate rather than depreciate, as...