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Predictability of Currency Carry Trades and Asset Pricing Implications · Study

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ArticlePredictability of Currency Carry Trades and Asset Pricing Implications

Gurdip Bakshi2011

OA

Articlegreen2011

Predictability of Currency Carry Trades and Asset Pricing Implications

Gurdip Bakshi · George Panayotov

161 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 161 citations exist upstream.

References

2008Market Liquidity and Funding Liquidity 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market 1983Empirical exchange rate models of the seventies 1988Dividend yields and expected stock returns 1994Automatic Lag Selection in Covariance Matrix Estimation 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2006Approximately normal tests for equal predictive accuracy in nested models 2001The Distribution of Realized Exchange Rate Volatility

Cited by

2017Commodity Trade and the Carry Trade: A Tale of Two Countries 2017Variance risk premiums and the forward premium puzzle 2020Business cycles and currency returns 2012Commodity Trade and the Carry Trade: A Tale of Two Countries 2017The Carry Trade: Risks and Drawdowns 2018Global Currency Hedging with Common Risk Factors 2019Economic momentum and currency returns 2017Uncertainty, currency excess returns, and risk reversals

Details

Year2011

Typearticle

Published2011-01-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations161

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/j.jfineco.2013.04.010

openalex_workW3122622435

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