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Jumps in foreign exchange rates and stochastic unwinding of carry trades

Nirei, Makoto; Sushko, Vladyslav - In: International review of economics & finance : IREF 20 (2011) 1, pp. 110-127

Persistent link: https://www.econbiz.de/10009304196

Carry trades and tail risk of exchange rates

Ganepola, Chanaka N. - In: Staff studies : official journal of the Central Bank of … 44 (2014) 1/2, pp. 69-108

Persistent link: https://www.econbiz.de/10011534942

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

The information content of risk reversals in emerging market currencies

Costa Filho, Adonias Evaristo da - In: Revista Brasileira de Finanças : RBFin 14 (2016) 3, pp. 403-441

Persistent link: https://www.econbiz.de/10011654252

Carry trade and forward premium puzzle from the perspective of a safe-haven currency

Haab, David R.; Nitschka, Thomas - 2018

Persistent link: https://www.econbiz.de/10011948343

Foreign exchange predictability during the financial crisis : implications for carry trade profitability

Anatolyev, Stanislav; Gospodinov, Nikolaj; Jamali, Ibrahim - 2015

In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...

Persistent link: https://www.econbiz.de/10011313235