Spillovers of currency carry trade returns, market risk sentiment, and U.S. market returns
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DOI: 10.1016/j.najef.2013.10.001
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More about this item
Keywords
Currency carry trade markets; Spillover effects; Market risk sentiment; Generalized VAR model; Markov-switching model;All these keywords.
JEL classification:
- E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
- F30 - International Economics - - International Finance - - - General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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