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Carry funding and safe haven currencies: A threshold regression approach
16 references·4 citing·46 second hop
Carry funding and safe haven currencies: A threshold regression approach (2015)Carry funding and safe haven currencies: …Exchange Rates and Interest Parity (2014)Exchange Rates and Interest P…Carry Trades and Global Foreign Exchange Volatility (2012)Carry Trades and Global Forei…Getting beyond carry trade: What makes a safe haven currency? (2011)Getting beyond carry trade: W…Carry Trade and Momentum in Currency Markets (2011)Carry Trade and Momentum in C…Safe Haven Currencies (2010)Safe Haven CurrenciesIs gold a safe haven? International evidence (2010)Is gold a safe haven? Interna…Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is Gold a Hedge or a Safe Hav…Carry Trades and Currency Crashes (2008)Carry Trades and Currency Cra…Carry Trades and Currency Crashes (2008)Carry Trades and Currency Cra…The Overvaluation of Renminbi Undervaluation (2007)The Overvaluation of Renminbi…Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions (2006)Confidence Intervals for Diff…Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era (2005)Testing Uncovered Interest Pa…Exchange Rates, Equity Prices, and Capital Flows (2005)Exchange Rates, Equity Prices…Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates? (2004)Can Portfolio Rebalancing Exp…Sample Splitting and Threshold Estimation (2000)Sample Splitting and Threshol…Anomalies: Foreign Exchange (1990)Anomalies: Foreign ExchangeExchange rate return predictability in times of geopolitical risk (2022)Exchange rate return predicta…Monetary policy uncertainty and stock returns in G7 and BRICS countries: A quantile-on-quantile approach (2021)Monetary policy uncertainty a…Choice with Limited Capacity (2019)Choice with Limited CapacityExchange rate expectations since the financial crisis: Performance evaluation and the role of monetary policy and safe haven (2017)Exchange rate expectations si…Forward and spot exchange rates (1984)Continuous Auctions and Insider Trading (1985)Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations (1985)What do we learn from the price of crude oil futures? (2010)Tests for Parameter Instability in Regressions with 1(1) Processes (1992)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Estimation of a Change Point in Multiple Regression Models (1997)Chapter 8 Growth Econometrics (2005)The economics of poverty traps and persistent poverty: An asset-based approach (2006)Remittances, financial development, and growth (2008)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)Empirical exchange rate models of the seventies (1983)The Determinants of Credit Spread Changes (2001)Market Liquidity and Funding Liquidity (2008)Do Peso Problems Explain the Returns to the Carry Trade? (2010)International Liquidity and Exchange Rate Dynamics * (2015)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Determining the Number of Factors in Approximate Factor Models (2002)Large Dimensional Factor Analysis (2008)A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models (2011)Grouped Patterns of Heterogeneity in Panel Data (2015)Exchange Rate Dynamics Redux (1995)The Limits of Arbitrage (1995)International Financial Adjustment (2005)International Financial Adjustment (2007)Rare Disasters and Exchange Rates * (2015)Liquidity Risk and Expected Stock Returns (2003)The Cross‐Section of Volatility and Expected Returns (2006)Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic (2020)Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis? (2020)Searching for safe-haven assets during the COVID-19 pandemic (2020)Judgment Under Uncertainty: Heuristics and Biases. (1984)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)A CNN–LSTM model for gold price time-series forecasting (2020)Evaporating Liquidity (2012)
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References

  • 2000Sample Splitting and Threshold Estimation2,901 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 2010Is gold a safe haven? International evidence1,944 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited
  • 1990Anomalies: Foreign Exchange902 cited
  • 2008Carry Trades and Currency Crashes792 cited
  • 2008Carry Trades and Currency Crashes654 cited
  • 2006Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions629 cited
  • 2005Exchange Rates, Equity Prices, and Capital Flows622 cited
  • 2010Safe Haven Currencies488 cited
  • 2014Exchange Rates and Interest Parity284 cited
  • 2011Carry Trade and Momentum in Currency Markets228 cited
  • 2011Getting beyond carry trade: What makes a safe haven currency?210 cited
  • 2004Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?205 cited
  • 2005Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era163 cited
  • 2007The Overvaluation of Renminbi Undervaluation

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158 cited

Cited by

  • 2021Monetary policy uncertainty and stock returns in G7 and BRICS countries: A quantile-on-quantile approach83 cited
  • 2022Exchange rate return predictability in times of geopolitical risk73 cited
  • 2017Exchange rate expectations since the financial crisis: Performance evaluation and the role of monetary policy and safe haven39 cited
  • 2019Choice with Limited Capacity1 cited