Pricing Implications of Covariances and Spreads in Currency Markets
[Optimal and naive diversification in currency markets]
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Cited by:
- Thomas A Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2023. "Market Timing and Predictability in FX Markets," Review of Finance, European Finance Association, vol. 27(1), pages 223-246.
- Filippou, Ilias & Maurer, Thomas A. & Pezzo, Luca & Taylor, Mark P., 2024.
"Importance of transaction costs for asset allocation in foreign exchange markets,"
Journal of Financial Economics, Elsevier, vol. 159(C).
- Filippou, Ilias & Maurer, Thomas & Pezzo, Luca & Taylor, Mark, 2024. "Importance of Transaction Costs for Asset Allocation in Foreign Exchange Markets," CEPR Discussion Papers 19037, C.E.P.R. Discussion Papers.
- Mikhail Chernov & Magnus Dahlquist & Lars Lochstoer, 2023.
"Pricing Currency Risks,"
Journal of Finance, American Finance Association, vol. 78(2), pages 693-730, April.
- Mikhail Chernov & Magnus Dahlquist & Lars A. Lochstoer, 2020. "Pricing Currency Risks," NBER Working Papers 28260, National Bureau of Economic Research, Inc.
- Chernov, Mikhail & Dahlquist, Magnus & Lochstoer, Lars, 2020. "Pricing Currency Risks," CEPR Discussion Papers 15571, C.E.P.R. Discussion Papers.
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JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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