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Currency Returns, Skewness and Crash Risk · Study

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PreprintCurrency Returns, Skewness and Crash Risk

Barry Rafferty2012

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Preprintgreen2012

Currency Returns, Skewness and Crash Risk

68 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Global Financial Crisis and Policies Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1973Risk, Return, and Equilibrium: Empirical Tests 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1976The arbitrage theory of capital asset pricing 1973An Intertemporal Capital Asset Pricing Model 2003Liquidity Risk and Expected Stock Returns 2000Conditional Skewness in Asset Pricing Tests 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations

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2017Uncertainty, currency excess returns, and risk reversals 2017Term Structure of Consumption Risk Premia in the Cross Section of Currency Returns 2021Equity tail risk and currency risk premiums 2015Can implied volatility predict returns on the currency carry trade?2015Pricing Risks Across Currency Denominations 2016The European sovereign debt crisis: What have we learned?

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2014Downside Market Risk of Carry Tradesarticle · 14 shared references 2013Conditional Risk Premia in Currency Markets and Other Asset Classespreprint · 13 shared references 2009Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiumspreprint · 13 shared references 2019Choice with Limited Capacitypreprint · 13 shared references 2013Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiumsarticle · 12 shared references 2021Equity tail risk and currency risk premiumsarticle · 12 shared references

Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations68

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.2022920

openalex_workW1557931497

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2016

Risk and Return Spillovers Among the G10 Currencies