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Measures of global uncertainty and carry-trade excess returns
16 references·8 citing·47 second hop
Measures of global uncertainty and carry-trade excess returns (2017)Measures of global uncertainty and carry-…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…Measuring Uncertainty (2015)Measuring UncertaintyThe Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets (2014)The Empirical Evidence on the…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…The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk (2007)The Cross Section of Foreign …Real-time price discovery in global stock, bond and foreign exchange markets (2007)Real-time price discovery in …Monetary Policy in the Open Economy Revisited: Price Setting and Exchange-Rate Flexibility (2003)Monetary Policy in the Open E…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…Affine Term Structure Models and the Forward Premium Anomaly (2001)Affine Term Structure Models …The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …Puzzles in International Financial Markets (1994)Puzzles in International Fina…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…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…Geopolitical risk and currency returns (2024)Geopolitical risk and currenc…The New Fama Puzzle (2022)The New Fama PuzzleWishful Thinking in Macroeconomic Expectations (2021)Wishful Thinking in Macroecon…The real effects of exchange rate risk on corporate investment: International evidence (2021)The real effects of exchange …Economic uncertainty and business formation: A cross-country analysis (2021)Economic uncertainty and busi…Spillovers and connectedness in foreign exchange markets: The role of trade policy uncertainty (2020)Spillovers and connectedness …Choice with Limited Capacity (2019)Choice with Limited CapacityThe New Fama Puzzle (2018)The New Fama PuzzleCAPITAL 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)Discretion versus policy rules in practice (1993)Dynamic Conditional Correlation (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)Capital flows, push versus pull factors and the global financial crisis (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)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)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Investor Psychology and Asset Pricing (2001)Exchange Rates and Fundamentals (2005)Carry Trades and Currency Crashes (2008)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Empirical exchange rate models of the seventies (1983)ARCH modeling in finance (1992)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)High-Frequency Trading and Price Discovery (2014)Common risk factors in the returns on stocks and bonds (1993)Climate risks and market efficiency (2018)Risks and Returns of Cryptocurrency (2020)The Role of Monetary Policy (1995)The Impact of Uncertainty Shocks (2009)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)Measuring Geopolitical Risk (2022)The Cross-Section of Expected Stock Returns (1992)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Policy Uncertainty and Corporate Investment (2015)COVID-Induced Economic Uncertainty (2020)
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References

  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2015Measuring Uncertainty2,908 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,377 cited
  • 2007Real-time price discovery in global stock, bond and foreign exchange markets1,127 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 2011Common Risk Factors in Currency Markets1,079 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited
  • 2003Monetary Policy in the Open Economy Revisited: Price Setting and Exchange-Rate Flexibility755 cited
  • 2008Carry Trades and Currency Crashes654 cited
  • 2014The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets601 cited
  • 2001Affine Term Structure Models and the Forward Premium Anomaly594 cited
  • 2007The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk528 cited

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  • 1994Puzzles in International Financial Markets523 cited
  • Cited by

    • 2020Spillovers and connectedness in foreign exchange markets: The role of trade policy uncertainty131 cited
    • 2024Geopolitical risk and currency returns38 cited
    • 2021The real effects of exchange rate risk on corporate investment: International evidence35 cited
    • 2021Economic uncertainty and business formation: A cross-country analysis20 cited
    • 2018The New Fama Puzzle17 cited
    • 2022The New Fama Puzzle11 cited
    • 2019Choice with Limited Capacity1 cited
    • 2021Wishful Thinking in Macroeconomic Expectations0 cited