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Variance risk premium and expected currency return : the story is different at the tails of the distribution

Sahin, Baki Cem - In: Spanish journal of finance & accounting : the official … 50 (2021) 4, pp. 409-422

Persistent link: https://www.econbiz.de/10012649519

Equity tail risk and currency risk premiums

Fan, Zhenzhen; Londono, Juan M.; Xiao, Xiao - In: Journal of financial economics 143 (2022) 1, pp. 484-503

Persistent link: https://www.econbiz.de/10013350667

Carry trade, reserve accumulation, and exchange-rate regimes

Alfaro, Laura; Kanczuk, Fabio - 2013

Persistent link: https://www.econbiz.de/10009763731

Yen carry trades and stock returns in target currency countries

Cheung, Stephen Y. L.; Cheung, Yin-Wong; He, Angela W. W. - In: Japan and the world economy : international journal of … 24 (2012) 3, pp. 174-183

Persistent link: https://www.econbiz.de/10009665467

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 tail risk premia of the carry trades

Dupuy, Philippe - In: Journal of international money and finance 59 (2015), pp. 123-145

Persistent link: https://www.econbiz.de/10011478289

Crash Risk in Currency Returns

Chernov, Mikhail - 2015

We quantify crash risk in currency returns. To accomplish this task, we develop and estimate an empirical model of exchange rate dynamics using daily data for four currencies relative to the US dollar: the Australian dollar, the British pound, the Swiss franc, and the Japanese yen. The model...

Persistent link: https://www.econbiz.de/10013037072