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Carry trades and global foreign exchange volatility
Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - In: The journal of finance : the journal of the American … 67 (2012) 2, pp. 681-718
Persistent link: https://www.econbiz.de/10009533994
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Understanding the price of volatility risk in carry trades
Ahmed, Shamim; Valente, Giorgio - In: Journal of banking & finance 57 (2015), pp. 118-129
Persistent link: https://www.econbiz.de/10011543818
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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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Carry trades, order flow and the forward bias puzzle
Breedon, Francis J.; Rime, Dagfinn; Vitale, Paolo - 2015
We investigate the relation between foreign exchange (FX) order flow and the forward bias. We outline a decomposition of the forward bias according to which a negative correlation between interest rate differentials and order flow creates a time-varying risk premium consistent with that bias....
Persistent link: https://www.econbiz.de/10011396784
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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
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Carry trades, order flow, and the forward bias puzzle
Breedon, Francis J.; Rime, Dagfinn; Vitale, Paolo - In: Journal of money, credit and banking : JMCB 48 (2016) 6, pp. 1113-1134
Persistent link: https://www.econbiz.de/10011707918
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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
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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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Market, interest rate, and exchange rate risk effects on financial stock returns during the financial crisis : AGARCH-M approach
Mouna, Aloui; Anis, Jarboui - In: Cogent economics & finance 4 (2016) 1, pp. 1-16
-variate GARCH-in-mean model and volatility spillovers. The empirical results show the significant effects (positive and negative …, respectively) of the stock market returns, interest rate, and exchange rate volatility of the financial sector during the crisis …. Besides, we find, in most cases, significant (positive and negative, respectively) volatility spillovers from market return …
Persistent link: https://www.econbiz.de/10011450341
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Oil market uncertainty and excess returns on currency carry trade
Su, Zhi; Mo, Xuan; Yin, Libo - In: Research in international business and finance 56 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10013269450