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Revisiting the predictability of bond risk premia

Thornton, Daniel L.; Valente, Giorgio - 2009

Persistent link: https://www.econbiz.de/10003820335

A century of equity premium predictability and the consumption-wealth ratio : an international perspective

Della Corte, Pasquale; Sarno, Lucio; Valente, Giorgio - In: Journal of empirical finance 17 (2010) 3, pp. 313-331

Persistent link: https://www.econbiz.de/10009267297

Resolving the unbiasedness and forward premium puzzles

Thornton, Daniel L. (contributor) - 2007

Persistent link: https://www.econbiz.de/10003740607

Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates

Thornton, Daniel L. (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002115886

Understanding the predictability of excess returns

Thornton, Daniel L. - In: Credit and capital markets : Kredit und Kapital 49 (2016) 4, pp. 485-505

Persistent link: https://www.econbiz.de/10011701088

Carry trades and the performance of currency hedge funds

Nucera, Federico; Valente, Giorgio - In: Journal of international money and finance 33 (2013), pp. 407-425

Persistent link: https://www.econbiz.de/10009730692

Carry trades and the performance of currency hedge funds

Nucera, Federico; Valente, Giorgio - 2013

Persistent link: https://www.econbiz.de/10009689940

Expectations and risk premia at 8:30AM : macroeconomic announcements and the yield curve

Hördahl, Peter; Remolona, Eli M.; Valente, Giorgio - 2015

Persistent link: https://www.econbiz.de/10011437580

Understanding the price of volatility risk in carry trades

Ahmed, Shamim; Valente, Giorgio - In: Journal of banking & finance 57 (2015), pp. 118-129

Persistent link: https://www.econbiz.de/10011543818

Carry Trades and the Performance of Currency Hedge Funds

Nucera, Federico - 2013

We investigate the performance and risk of currency hedge funds using a large and unique consolidated currency hedge fund dataset. We find that a substantial number of hedge funds generate returns that exceed foreign exchange risk premia obtained through carry trades. The best alpha-generating...

Persistent link: https://www.econbiz.de/10013088415