Cross-asset return predictability: Carry trades, stocks and commodities
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DOI: 10.1016/j.jimonfin.2016.02.013
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More about this item
Keywords
Carry trade; Gradual information diffusion; Return predictability; Safe-haven currencies; Time-varying risk premium; Vector auto regression;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- F31 - International Economics - - International Finance - - - Foreign Exchange
Statistics
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