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Currency carry trade regimes: Beyond the Fama regression
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Currency carry trade regimes: Beyond the Fama regression (2009)Currency carry trade regimes: Beyond the …Carry Trades and Currency Crashes (2008)Carry Trades and Currency Cra…The out-of-sample success of term structure models as exchange rate predictors: a step beyond (2003)The out-of-sample success of …A Simple Framework for International Monetary Policy Analysis (2002)A Simple Framework for Intern…Expectations Hypotheses Tests (2001)Expectations Hypotheses TestsAffine Term Structure Models and the Forward Premium Anomaly (2001)Affine Term Structure Models …Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Forward and spot exchange rates (1984)Forward and spot exchange rat…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…A Note on Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis (1981)A Note on Exchange-Rate Expec…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Good Carry, Bad Carry (2018)Good Carry, Bad CarryGlobal Currency Hedging with Common Risk Factors (2018)Global Currency Hedging with …The Carry Trade: Risks and Drawdowns (2017)The Carry Trade: Risks and Dr…Measures of global uncertainty and carry-trade excess returns (2017)Measures of global uncertaint…Global macro risks in currency excess returns (2017)Global macro risks in currenc…Downside Risks and the Cross-Section of Asset Returns (2017)Downside Risks and the Cross-…Asset Prices and Macroeconomic Outcomes: A Survey (2017)Asset Prices and Macroeconomi…Optimal and Naive Diversification in Currency Markets (2016)Optimal and Naive Diversifica…New Evidence on the Forward Premium Puzzle (2016)New Evidence on the Forward P…On the impact of volatility on the real exchange rate – terms of trade nexus: Revisiting commodity currencies (2015)On the impact of volatility o…Carry funding and safe haven currencies: A threshold regression approach (2015)Carry funding and safe haven …Downside Market Risk of Carry Trades (2014)Downside Market Risk of Carry…Exchange Rates and Interest Parity (2013)Exchange Rates and Interest P…The “forward premium puzzle” and the sovereign default risk (2012)The “forward premium puzzle” …Foreign exchange market efficiency under recent crises: Asia-Pacific focus (2012)Foreign exchange market effic…Macroeconomic Determinants of Carry Trade Activity (2010)Macroeconomic Determinants of…Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)A Tract on Monetary Reform (1924)In search of the exchange risk premium: A six-currency test assuming mean-variance optimization (1982)An investigation of risk and return in forward foreign exchange (1984)International Capital Mobility and Crowding Out in the U.S. Economy: Imperfect Integration of Financial Markets or of Goods Markets? 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this work references cited by second hop

References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 2002A Simple Framework for International Monetary Policy Analysis799 cited
  • 2008Carry Trades and Currency Crashes654 cited
  • 2001Affine Term Structure Models and the Forward Premium Anomaly594 cited
  • 2001Expectations Hypotheses Tests289 cited
  • 2003The out-of-sample success of term structure models as exchange rate predictors: a step beyond255 cited
  • 1981A Note on Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis199 cited

Cited by

  • 2014Downside Market Risk of Carry Trades119 cited
  • 2017Downside Risks and the Cross-Section of Asset Returns100 cited
  • 2015Carry funding and safe haven currencies: A threshold regression approach96 cited
  • 2017The Carry Trade: Risks and Drawdowns80 cited
  • 2012Foreign exchange market efficiency under recent crises: Asia-Pacific focus

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78 cited
  • 2018Global Currency Hedging with Common Risk Factors74 cited
  • 2018Good Carry, Bad Carry67 cited
  • 2017Measures of global uncertainty and carry-trade excess returns66 cited
  • 2012The “forward premium puzzle” and the sovereign default risk61 cited
  • 2013Exchange Rates and Interest Parity53 cited
  • 2015On the impact of volatility on the real exchange rate – terms of trade nexus: Revisiting commodity currencies52 cited
  • 2016New Evidence on the Forward Premium Puzzle51 cited
  • 2016Optimal and Naive Diversification in Currency Markets49 cited
  • 2017Global macro risks in currency excess returns42 cited
  • 2017Asset Prices and Macroeconomic Outcomes: A Survey40 cited
  • 2010Macroeconomic Determinants of Carry Trade Activity34 cited