The main objective of this paper is to investigate the diversification role of currency momentum for carry trade … the practices of currency portfolio management during times of heightened financial uncertainty …

three important results. First, a currency pair is predicted to have greater excess returns if option-implied returns are … more volatile, are more left-skewed, and have fatter tails than the returns of other currency pairs. Second, strategies …. Third, if the option-implied returns of a currency pair are more left-skewed than in the past, anti-carry trades rather than …

extreme exchange rate fluctuations. Indeed, the temporal distribution of extreme currency fluctuations provides vital …

This paper will propose a plan to reform international finance – the World Financial Authority (WFA) Plan. Under such a … effective, regaining traction and preventing contagion. A central instrument to this end is the creation of the World Financial … Unit (WFU), an international currency unit conceived as a synthetic security backed by reserves composed of currencies …

2012. There is evidence of significant Australian Dollar (AUD), Euro and Japanese Yen (JPY) carry trades during non …-crisis periods. The AUD (JPY) was an investment (a funding) currency, and the Euro was both. However, cross currency carry trades …

2012. There is evidence of significant Australian Dollar (AUD), Euro and Japanese Yen (JPY) carry trades during non …-crisis periods. The AUD (JPY) was an investment (a funding) currency, and the Euro was both. However, cross currency carry trades …

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 …

understanding of currency risk in the cross-section. This is directly linked to asset pricing tests from Lustig et al. (2011), which … have shown that currency baskets sorted on their interest rate differentials are all exposed to carry trade returns as a …