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Currency returns and systematic risk
Gonçalves, Fernanda; Ferreira, Giuliano de Queiroz; … - In: The Manchester School 90 (2022) 6, pp. 609-647
Persistent link: https://www.econbiz.de/10013414307
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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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The existence and severity of the forward premium puzzle during tranquil and turbulent periods : developed versus developing country currencies
Shehadeh, Ali; Li, Youwei; Vigne, Samuel A.; … - In: International review of financial analysis 78 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10013252466
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The information content of risk reversals in emerging market currencies
Costa Filho, Adonias Evaristo da - In: Revista Brasileira de Finanças : RBFin 14 (2016) 3, pp. 403-441
Persistent link: https://www.econbiz.de/10011654252
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Carry trade and foreign exchange rate puzzles
Spronk, Richard; Verschoor, Willem F. C.; Zwinkels, … - In: European economic review : EER 60 (2013), pp. 17-31
Persistent link: https://www.econbiz.de/10009762410
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Variance risk premiums and the forward premium puzzle
Londono, Juan M.; Zhou, Hao - In: Journal of financial economics 124 (2017) 2, pp. 415-440
Persistent link: https://www.econbiz.de/10011751455
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Foreign exchange predictability during the financial crisis : implications for carry trade profitability
Anatolyev, Stanislav; Gospodinov, Nikolaj; Jamali, Ibrahim - 2015
In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...
Persistent link: https://www.econbiz.de/10011313235
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Carry and trend following returns in the foreign exchange market
Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - 2015
Persistent link: https://www.econbiz.de/10010531060
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Yen carry trades and stock returns in target currency countries
Cheung, Stephen Y. L.; Cheung, Yin-Wong; He, Angela W. W. - In: Japan and the world economy : international journal of … 24 (2012) 3, pp. 174-183
Persistent link: https://www.econbiz.de/10009665467
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Can implied volatility predict returns on the currency carry trade?
Egbers, Tom; Swinkels, Laurens - In: Journal of banking & finance 59 (2015), pp. 14-26
Persistent link: https://www.econbiz.de/10011544270