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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

Predicting foreign investors' carry trade activity in the Israeli FX market using a time-varying currency risk premium approach

Mantzura, Ariel; Shraiber, Bentsi - In: International review of economics & finance : IREF 59 (2019), pp. 438-457

Persistent link: https://www.econbiz.de/10012203257

Optimal carry trade portfolio choice under regime shifts

Chen, Chih-Nan; Lin, Chien-Hsiu - In: Review of quantitative finance and accounting 59 (2022) 2, pp. 483-506

Persistent link: https://www.econbiz.de/10013459294

Carry trade : benefits and risks

Pappa, Anna A. - In: International journal of business innovation and research 8 (2014) 4, pp. 411-421

Persistent link: https://www.econbiz.de/10010401015

Currency futures' risk premia and risk factors

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2020

The use of futures exchange contracts instead of forwards completes the maturity spectrum of the correlation between the spot yield and the premium. We ﬁnd that the forward premium puzzle (FFP) depends signiﬁcantly on the maturity horizon of the futures contract and the choice of sampling...

Persistent link: https://www.econbiz.de/10012209529