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Jumps in foreign exchange rates and stochastic unwinding of carry trades
Nirei, Makoto; Sushko, Vladyslav - In: International review of economics & finance : IREF 20 (2011) 1, pp. 110-127
Persistent link: https://www.econbiz.de/10009304196
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Connectedness between cryptocurrencies and foreign exchange markets : implication for risk management
Chemkha, Rahma; BenSaïda, Ahmed; Ghorbel, Ahmed - In: Journal of multinational financial management 59 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012794677
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Risk-adjusted return managed carry trade
Dupuy, Philippe - In: Journal of banking & finance 129 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012822247
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Exchange rate predictability, common factors, and applications in carry trade
Ogruk-Maz, Gokcen; Wu, Shengxiong; Yildirim, Sinan - In: International journal of monetary economics and finance … 13 (2020) 6, pp. 513-530
Persistent link: https://www.econbiz.de/10012515315
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Portfolio reallocation and exchange rate dynamics
Ding, Liang; Ma, Jun - In: Journal of banking & finance 37 (2013) 8, pp. 3100-3124
Persistent link: https://www.econbiz.de/10009777107
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Diversification role of currency momentum for carry trade : evidence from financial crises
Yamani, Ehab - In: Journal of multinational financial management 49 (2019), pp. 1-19
Persistent link: https://www.econbiz.de/10012314313
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Implementable tail risk management : an empirical analysis of CVaR-optimized carry trade portfolios
Kaya, Hakan; Lee, Wai; Pornrojnangkool, Bobby - In: Journal of derivatives & hedge funds 17 (2011) 4, pp. 341-356
Persistent link: https://www.econbiz.de/10010217491
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Equity tail risk and currency risk premiums
Fan, Zhenzhen; Londono, Juan M.; Xiao, Xiao - In: Journal of financial economics 143 (2022) 1, pp. 484-503
Persistent link: https://www.econbiz.de/10013350667
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FX strategies in periods of distress
Gyntelberg, Jacob; Schrimpf, Andreas - In: BIS quarterly review : international banking and … (2011), pp. 29-40
Persistent link: https://www.econbiz.de/10009419357
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FX Strategies in Periods of Distress
Gyntelberg, Jacob - 2013
This article presents an overview of widely practiced short-term multi-currency investment strategies such as carry trade, momentum and term spread strategies. We provide evidence on their downside risk properties and illustrate their performance over historical episodes of financial market...
Persistent link: https://www.econbiz.de/10013092015