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Global macro risks in currency excess returns

Berg, Kimberly A.; Mark, Nelson C. - In: Journal of empirical finance 45 (2018), pp. 300-315

Persistent link: https://www.econbiz.de/10012102432

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

The effect of political risk on currency carry trades

Dimic, Nebojsa; Orlov, Vitaly; Piljak, Vanja - In: Finance research letters 19 (2016), pp. 75-78

Persistent link: https://www.econbiz.de/10011657457

Emerging Market Currency Excess Returns

Gilmore, Stephen W.; Hayashi, Fumio - 2020

This is a descriptive paper on the excess return from 20 internationally tradable emerging market (EM) currencies. It has two contributions. First, we document stylized facts about EM currencies. For the period starting in the second half of the 1990s and including the two major crises (the 1997...

Persistent link: https://www.econbiz.de/10014212637