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The relationship between carry...
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1
Foreign exchange risk and the predictability of carry trade returns
Cenedese, Gino
;
Sarno, Lucio
;
Tsiakas, Ilias
- In:
Journal of banking & finance
42
(
2014
),
pp. 302-313
Persistent link: https://www.econbiz.de/10010408374
Saved in:
2
Violations of uncovered interest rate parity and international exchange rate dependences
Ames, Matthew
;
Bagnarosa, Guillaume
;
Peters, Gareth
- In:
Journal of international money and finance
73
(
2017
),
pp. 162-187
Persistent link: https://www.econbiz.de/10011787712
Saved in:
3
Forecasting Covariance for Optimal Carry Trade Portfolio Allocations
Ames, Matthew
-
2016
Modelling and forecasting of asset
volatility
and covariance is of prime importance in the construction of portfolios …
Persistent link: https://www.econbiz.de/10013002082
Saved in:
4
Puzzling premiums on FX markets : carry trade, momentum, and value alone and strategy diversification
Mikova, Evgeniya
;
Teplova, Tamara V.
;
Munir, Qaiser
- In:
Emerging markets, finance & trade : a journal of the …
56
(
2020
)
1
,
pp. 126-148
Persistent link: https://www.econbiz.de/10012211227
Saved in:
5
Volatility
transmitter or receiver? : investigating dynamic connectedness between the carry trade and financial markets
Nefzi, Nourhaine
;
Melki, Abir
- In:
Borsa Istanbul Review
23
(
2023
)
3
,
pp. 748-758
negative, but, during the Covid-19 pandemic, the carry trade is the main net transmitter of
volatility
to all markets. Our …
Persistent link: https://www.econbiz.de/10014308844
Saved in:
6
The conditional
volatility
premium on currency portfolios
Byrne, Joseph P.
;
Sakemoto, Ryuta
- In:
Journal of international financial markets, …
74
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012803308
Saved in:
7
Portfolio reallocation and exchange rate dynamics
Ding, Liang
;
Ma, Jun
- In:
Journal of banking & finance
37
(
2013
)
8
,
pp. 3100-3124
Persistent link: https://www.econbiz.de/10009777107
Saved in:
8
The sources of pricing factors underlying the cross-section of currency returns
Chen, Chih-Nan
;
Lin, Chien-Hsiu
- In:
The quarterly review of economics and finance : journal …
77
(
2020
),
pp. 250-265
Persistent link: https://www.econbiz.de/10012430926
Saved in:
9
Diversification role of currency momentum for carry trade : evidence from financial crises
Yamani, Ehab
- In:
Journal of multinational financial management
49
(
2019
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012314313
Saved in:
10
The pricing of unexpected
volatility
in the currency market
Lu, Wenna
;
Copeland, Laurence S.
;
Xu, Yongdeng
- In:
The European journal of finance
29
(
2023
)
17
,
pp. 2032-2046
Persistent link: https://www.econbiz.de/10014388546
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