US Equity Tail Risk and Currency Risk Premia
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DOI: 10.17016/IFDP.2019.1253
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More about this item
Keywords
Equity tail risk; Global tail risk; Currency returns; Carry trade; Currency momentum;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F31 - International Economics - - International Finance - - - Foreign Exchange
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2019-08-12 (Financial Markets)
- NEP-RMG-2019-08-12 (Risk Management)
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