SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Is carry-trade a viable alternative asset class?
16 references·1 citing·41 second hop
Is carry-trade a viable alternative asset class? (2012)Is carry-trade a viable alternative asset…Carry Trades and Global Foreign Exchange Volatility (2012)Carry Trades and Global Forei…The Time-Varying Systematic Risk of Carry Trade Strategies (2011)The Time-Varying Systematic R…The Impact of Skewness and Fat Tails on the Asset Allocation Decision (2011)The Impact of Skewness and Fa…International Diversification Works (Eventually) (2011)International Diversification…Do Peso Problems Explain the Returns to the Carry Trade? (2010)Do Peso Problems Explain the …Diversification benefits of commodity futures (2010)Diversification benefits of c…The (more than) 100 Ways to Measure Portfolio Performance. Part 1: Standardized Risk-Adjusted Measures (2009)The (more than) 100 Ways to M…Carry Trades and Currency Crashes (2008)Carry Trades and Currency Cra…Carry Trades and Currency Crashes (2008)Carry Trades and Currency Cra…The Strategic and Tactical Value of Commodity Futures (2006)The Strategic and Tactical Va…How Profitable Is Capital Structure Arbitrage? (2006)How Profitable Is Capital Str…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Value at Risk (2001)Value at RiskExtreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…International Investments. (1989)International Investments.The rise of passive investing: a systematic literature review applying PRISMA framework (2024)The rise of passive investing…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Multivariate GARCH models: a survey (2006)Risk, Return, and Equilibrium: Empirical Tests (1973)The Pricing of Options and Corporate Liabilities (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Currency momentum strategies (2012)Conditional risk premia in currency markets and other asset classes (2014)Intermediary asset pricing: New evidence from many asset classes (2017)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Time Series Momentum (2011)Value and Momentum Everywhere (2013)Empirical exchange rate models of the seventies (1983)The Determinants of Credit Spread Changes (2001)Market Liquidity and Funding Liquidity (2008)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Momentum crashes (2016)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Measuring Default Risk Premia from Default Swap Rates and EDFs (2007)The Fundamentals of Commodity Futures Returns (2012)What does futures market interest tell us about the macroeconomy and asset prices? (2012)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Options, Futures and Other Derivatives (2003)Financialization of Commodity Markets (2013)“Options, Futures, and Other Derivatives” (2016)Liquidity Risk and Expected Stock Returns (2003)Tails, Fears, and Risk Premia (2011)Risk Assessment for Banking Systems (2006)Introductory Econometrics for Finance (2008)ESG Shareholder Engagement and Downside Risk (2016)Common Risk Factors in Currency Markets (2011)
this work references cited by second hop

References

  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 2006The Strategic and Tactical Value of Commodity Futures1,037 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited
  • 2001Value at Risk853 cited
  • 2008Carry Trades and Currency Crashes792 cited
  • 2008Carry Trades and Currency Crashes668 cited
  • 2010Do Peso Problems Explain the Returns to the Carry Trade?522 cited
  • 2006How Profitable Is Capital Structure Arbitrage?476 cited
  • 1989International Investments.291 cited
  • 2011The Time-Varying Systematic Risk of Carry Trade Strategies205 cited
  • 2011The Impact of Skewness and Fat Tails on the Asset Allocation Decision129 cited
  • 2010Diversification benefits of commodity futures109 cited
  • 2009The (more than) 100 Ways to Measure Portfolio Performance. Part 1: Standardized Risk-Adjusted Measures65 cited
  • 2011International Diversification Works (Eventually)

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

59 cited

Cited by

  • 2024The rise of passive investing: a systematic literature review applying PRISMA framework20 cited