boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …

represent a fair compensation for currency risk, we find that non-durable consumption risk and market risk can explain excess …

In this paper, we analyse the relationship between the currency carry return and volatility and liquidity risk factors … outperformance for volatility ones especially the global FX volatility risk factor. Consistent with the poor performance of currency …. We find that both categories of risk factors are relevant to understanding and explaining carry return, with an …

In this paper, we measure currency carry trade funding risk using stock market volatility and crash risk in Japan, the … main funding currency country. We show that the measures of funding risk in Japan can explain 42% of the monthly currency … volatility in our sample of ten main currencies, 28% of the speculators' net currency futures positions in Australian dollar …

The returns to carry trades are controversially discussed as there seems to be no unifying risk-based explanation of … currency returns and stock returns. This paper addresses carry trade returns from a risk pricing perspective and examines if … these returns can be connected to persistent cross-country differences of risk aversion. Therefore, I analyze a data set of …

likely to hold, namely when interest rate differentials (IRDs) are very large during high foreign exchange (FX) volatility … regimes. We find that conditioning a CT strategy on both FX volatility and extreme IRDs outperforms the base … settings analyzed. Conditioning on high FX volatility only, or on very large IRDs only shows mixed findings. Our strategy works …

risk factors. Asset pricing theory applies to the currency market: those currencies that have larger loading on risk … should not. A risk premia story might justify the high returns to the carry trades. In this paper we study the relationship …, especially crash risk, offer a larger mean return in compensation. Especially, we show that crash risk as measured by quantile …

overall equity market returns and volatility. The risk associated with investment decisions is measured by the exponential … regime-switching regression model on the two market risk factors, we develop an entropy-based dynamic portfolio selection … Rényi entropy criterion, which summarizes the uncertainty in portfolio returns. Assuming asset returns are projected by a …

We analyse the volatility structure of Asian currencies against the U.S. dollar (USD) for the Thai Baht THB, the … volatility dynamics have changed in a K-state switching AR(1)-GARCH(1,1) model in the last decade 1995-2008 covering the Asian … crisis. We estimate the model of Haas et al. (2003) with MCMC and we find that for the four currencies the volatility …