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The Cross-Section of Currency Risk Premia and US Consumption Growth Risk

Lustig, Hanno - 2005

Aggregate consumption growth risk explains why low interest rate currencies do not appreciate as much as the interest rate differential and why high interest rate currencies do not depreciate as much as the interest rate differential. We sort foreign T-bills into portfolios based on the nominal...

Persistent link: https://www.econbiz.de/10012467581

The skewness risk premium in currency markets

Broll, Michael - In: Economic modelling 58 (2016), pp. 494-511

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Firm-level effects of asymmetric intervention in foreign exchange markets : evidence from the Swiss currency floor

Streit, Daniel - In: Journal of international money and finance 60 (2016), pp. 289-312

Persistent link: https://www.econbiz.de/10011660883

The Thursday effect of the forward premium puzzle

Ding, Liang - In: International review of economics & finance : IREF 21 (2012) 1, pp. 302-318

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Pricing risks across currency denominations

Maurer, Thomas; Tô, Thuy-Duong; Tran, Ngoc-Khanh - In: Management science : journal of the Institute for … 65 (2019) 11, pp. 5308-5336

Persistent link: https://www.econbiz.de/10012125966

A global model of international yield curves : no-arbitrage term structure approach

Kaminska, Iryna; Meldrum, Andrew; Smith, James - In: International journal of finance & economics : IJFE 18 (2013) 4, pp. 352-374

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Strategy diversification : combining momentum and carry strategies within a foreign exchange portfolio

Olszweski, Francis; Zhou, Guofu - In: Journal of derivatives & hedge funds 19 (2013) 4, pp. 311-320

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Agmon, Tamir; Arad, Ruth - In: European economic review : EER 22 (1983) 3, pp. 257-264

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Is currency risk priced in global equity markets?

Karolyi, G. Andrew; Wu, Ying - In: Review of finance : journal of the European Finance … 25 (2021) 3, pp. 863-902

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Understanding the pricing of currency risk in global equity markets

Karolyi, G. Andrew; Wu, Ying - In: Journal of multinational financial management 63 (2022), pp. 1-22

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