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The impact of jumps on carry trade returns
16 references·2 citing·39 second hop
The impact of jumps on carry trade returns (2018)The impact of jumps on carry trade returnsGood Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Good Volatility, Bad Volatili…Carry Trades and Global Foreign Exchange Volatility (2012)Carry Trades and Global Forei…Common Risk Factors in Currency Markets (2011)Common Risk Factors in Curren…Carry Trades and Currency Crashes (2008)Carry Trades and Currency Cra…Carry Trades and Currency Crashes (2008)Carry Trades and Currency Cra…The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk (2007)The Cross Section of Foreign …Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Jumps in Financial Markets: A…Downside Risk (2006)Downside RiskEconometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…The distribution of realized stock return volatility (2001)The distribution of realized …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…Forward and spot exchange rates (1984)Forward and spot exchange rat…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Not all words are equal: Sentiment and jumps in the cryptocurrency market (2024)Not all words are equal: Sent…Tales of Tails: Jumps in Currency Markets (2016)Tales of Tails: Jumps in Curr…The Behavior of Stock-Market Prices (1965)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)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)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)Asset Prices in an Exchange Economy (1978)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)On Persistence in Mutual Fund Performance (1997)Specification Tests in Econometrics (1978)A Theory of the Term Structure of Interest Rates (1985)Stochastic Integration and Differential Equations (2005)The Relative Contribution of Jumps to Total Price Variance (2005)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)Common risk factors in the returns on stocks and bonds (1993)Climate risks and market efficiency (2018)Risks and Returns of Cryptocurrency (2020)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)The Impact of Jumps in Volatility and Returns (2003)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Prospect Theory: An Analysis of Decision under Risk (1979)The Cross-Section of Expected Stock Returns (1992)Tail Risk and Asset Prices (2014)Replicating Anomalies (2018)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
  • 2011Common Risk Factors in Currency Markets1,079 cited
  • 2006Downside Risk1,039 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited
  • 2007Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics864 cited
  • 2008Carry Trades and Currency Crashes792 cited
  • 2015Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility772 cited
  • 2008Carry Trades and Currency Crashes654 cited
  • 2007

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The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk
528 cited

Cited by

  • 2024Not all words are equal: Sentiment and jumps in the cryptocurrency market34 cited
  • 2016Tales of Tails: Jumps in Currency Markets24 cited