Predictability of currency carry trades and asset pricing implications
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DOI: 10.1016/j.jfineco.2013.04.010
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More about this item
Keywords
Currency carry trades; Predictability; Commodity returns; Currency volatility; Liquidity; Predictability-based decision rule; Currency-related risk factors;All these keywords.
JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
Statistics
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