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Emerging Market Currency Excess Returns
15 references·2 citing·44 second hop
Emerging Market Currency Excess Returns (2008)Emerging Market Currency Excess ReturnsThe Forward Market in Emerging Currencies: Less Biased than in Major Currencies (2009)The Forward Market in Emergin…The economic value of fundamental and technical information in emerging currency markets (2009)The economic value of fundame…Leveraged carry trade portfolios (2008)Leveraged carry trade portfol…Common Risk Factors in Currency Markets (2008)Common Risk Factors in Curren…The Returns to Currency Speculation in Emerging Markets (2007)The Returns to Currency Specu…The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk (2007)The Cross Section of Foreign …The Returns to Currency Speculation (2006)The Returns to Currency Specu…The Forward Market in Emerging Currencies: Less Biased Than in Major Currencies (2006)The Forward Market in Emergin…The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk (2006)The Cross-Section of Foreign …Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…The forward premium puzzle: different tales from developed and emerging economies (2000)The forward premium puzzle: d…The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence (1995)The Forward Discount Anomaly …On biases in the measurement of foreign exchange risk premiums (1993)On biases in the measurement …Anomalies: Foreign Exchange (1990)Anomalies: Foreign ExchangeForward and spot exchange rates (1984)Forward and spot exchange rat…Can implied volatility predict returns on the currency carry trade? (2015)Can implied volatility predic…Can time-varying risk premiums explain the excess returns in the interest rate parity condition? (2014)Can time-varying risk premium…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Crash Risk in Currency Markets (2009)Price of Long-Run Temperature Shifts in Capital Markets (2016)Trade Network Centrality and Currency Risk Premia (2019)Continuous Auctions and Insider Trading (1985)Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations (1985)Carry Trades and Currency Crashes (2008)Carry Trades and Currency Crashes (2008)What do we learn from the price of crude oil futures? (2010)Risk, Return, and Equilibrium: Empirical Tests (1973)Expectations and Exchange Rate Dynamics (1976)Common Risk Factors in Currency Markets (2011)Price, trade size, and information in securities markets (1987)Global Currency Hedging (2007)Pricing and Liquidity in Decentralized Asset Markets (2016)Forward and Spot Exchange Rates in a Multi-Currency World* (2018)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Affine Term Structure Models and the Forward Premium Anomaly (2001)Regime Changes and Financial Markets (2012)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era (2005)The Continuing Puzzle of Short Horizon Exchange Rate Forecasting (2008)Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole (2009)Safe Haven Currencies (2010)Forecasting stock market returns: The sum of the parts is more than the whole (2011)The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment (2011)The carry trade and fundamentals: Nothing to fear but FEER itself (2012)Financial Crises, Dollarization, and Lending of Last Resort in Open Economies (2020)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Options, Futures and Other Derivatives (2003)The Strategic and Tactical Value of Commodity Futures (2006)The Fundamentals of Commodity Futures Returns (2012)Financialization of Commodity Markets (2013)“Options, Futures, and Other Derivatives” (2016)Do Peso Problems Explain the Returns to the Carry Trade? (2010)Currency momentum strategies (2012)
this work references cited by second hop

References

  • 1984Forward and spot exchange rates2,167 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 1990Anomalies: Foreign Exchange902 cited
  • 2007The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk528 cited
  • 2000The forward premium puzzle: different tales from developed and emerging economies501 cited
  • 1995The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence315 cited
  • 1993On biases in the measurement of foreign exchange risk premiums275 cited
  • 2006The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk265 cited
  • 2007The Returns to Currency Speculation in Emerging Markets176 cited
  • 2006The Returns to Currency Speculation170 cited
  • 2006The Forward Market in Emerging Currencies: Less Biased Than in Major Currencies146 cited
  • 2008Leveraged carry trade portfolios109 cited
  • 2009The economic value of fundamental and technical information in emerging currency markets78 cited
  • 2008Common Risk Factors in Currency Markets63 cited
  • 2009The Forward Market in Emerging Currencies: Less Biased than in Major Currencies61 cited

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Cited by

  • 2015Can implied volatility predict returns on the currency carry trade?30 cited
  • 2014Can time-varying risk premiums explain the excess returns in the interest rate parity condition?12 cited