-specific risk factors and use the joint conditional distribution of these components to obtain forecasts of future carry trade … competing models. We show that the forecasting gains translate into economically and statistically significant (risk …

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 …

I study crash risk in currency markets by means of a proxy for global skewness, which measures the aggregate asymmetry …-known factors demonstrates that crash risk is a fundamental and independent ingredient for the understanding of abnormal foreign … Exchange ; Carry Trade ; Crash Risk ; Skewness …