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Spillovers of currency carry trade returns, market risk sentiment, and US market returns

Lee, Hsiu-chuan; Chang, Shu-lien - In: The North American journal of economics and finance : a … 26 (2013), pp. 197-216

Persistent link: https://www.econbiz.de/10010364814

Are stock markets in Asia related to carry trade?

Fung, Hung-gay; Tse, Yiuman; Zhao, Lin - In: Pacific-Basin finance journal 25 (2013), pp. 200-216

Persistent link: https://www.econbiz.de/10010346745

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

Foreign exchange risk and the predictability of carry trade returns

Cenedese, Gino; Sarno, Lucio; Tsiakas, Ilias - In: Journal of banking & finance 42 (2014), pp. 302-313

Persistent link: https://www.econbiz.de/10010408374

Australian dollar carry trades : time varying probabilities and determinants

Kim, Suk-Joong - In: International review of financial analysis 40 (2015), pp. 64-75

Persistent link: https://www.econbiz.de/10011475609

Chartists, fundamentalists, and exchange rate fluctuations

Westerhoff, Frank - 2002

Persistent link: https://www.econbiz.de/10001705401

Anchoring and psychological barriers in foreign exchange markets

Westerhoff, Frank H. - 2002

Persistent link: https://www.econbiz.de/10001712381

Anchoring and psychological barriers in foreign exchange markets

Westerhoff, Frank - In: The journal of behavioral finance : a publication of … 4 (2003) 2, pp. 65-70

Persistent link: https://www.econbiz.de/10001796934

FX Market Returns and Their Relationship to Investor Fear

Smales, Lee A. - 2016

This note examines the relationship between changes in levels of investor fear (measured by VIX) and FX market returns. Our empirical results indicate a negative relationship between daily returns on high-interest rate (investing) currencies and changes in VIX, while the association is positive...

Persistent link: https://www.econbiz.de/10013001940

The Forward Premium Bias, Carry Trade Return and the Risks of Volatility and Liquidity

Shehadeh, Ali - 2016

In this paper, we analyse the relationship between the currency carry return and volatility and liquidity risk factors … outperformance for volatility ones especially the global FX volatility risk factor. Consistent with the poor performance of currency … carry trades during high FX volatility regime, we also show that the well-established negative slope coefficient in the Fama …

Persistent link: https://www.econbiz.de/10012989965