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Carry trade and momentum in currency markets

Burnside, Craig; Eichenbaum, Martin S.; Rebelo, Sérgio - 2011

Persistent link: https://www.econbiz.de/10008991151

Corporate foreign exchange speculation and integrated risk management

Aabo, Tom; Hansen, Marianna Andryeyeva; Pantzalis, Christos - In: Managerial finance 38 (2012) 8, pp. 729-751

Persistent link: https://www.econbiz.de/10009568700

Value-at-risk analysis for the Tunisian currency market : a comparative study

Ben Rejeb, Aymen; Ben Salha, Ousama; Ben Rejeb, Jaleleddine - In: International journal of economics and financial issues … 2 (2012) 2, pp. 110-125

Persistent link: https://www.econbiz.de/10009579532

The performance of currency hedge funds and the yen/USD carry trade

Peltomäki, Jarkko - In: International journal of finance & economics : IJFE 16 (2011) 2, pp. 103-113

Persistent link: https://www.econbiz.de/10009159831

Carry trade and momentum in currency markets

Burnside, Craig; Eichenbaum, Martin S.; Rebelo, Sérgio - In: Annual review of financial economics 3 (2011), pp. 511-535

Persistent link: https://www.econbiz.de/10009500797

Crash risk in currency markets, a skewness measure approach

Cazzaniga, Sofia - 2011

I study crash risk in currency markets by means of a proxy for global skewness, which measures the aggregate asymmetry of daily changes in spot exchange rates involved in a carry-trade portfolio. I find that this factor is priced in the cross-section of individual currencies. The premium for...