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Momentum returns, Limits to Arbitrage, Idiosyncratic Volatility, Carry Trades
Momentum Returns, Limits to Arbitrage, Idiosyncratic Volatility, Carry Trades
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP8747.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Carry Trades, Idiosyncratic Volatility, Limits to Arbitrage, Momentum Returns
F31, G12, G15
File name: DP8291.
carry trade, forward premium puzzle, liquidity, volatility
Exchange Rates, Volatility Risk Premium, Predictability, Minimum-Variance Currency Portfolio
File name: DP9549.
Exchange Rate, Hedgers, Order Flow, Predictability, Speculators, Volatility Risk Premium
Currency value, macro fundamentals, real exchange rate, predictability
Currency Risk Premium; Global Imbalances; Foreign Exchange Excess Returns; Carry Trade
File name: DP11129.
carry trade, currency risk premium, foreign exchange excess returns, global imbalances
exchange rates, arbitrage, covered interest rate parity, foreign exchange microstructure
File name: DP6878.
arbitrage, covered interest rate parity, exchange rates, foreign exchange microstructure
term structure, exchange rates, forward bias, predictability
File name: DP8503.
exchange rates, forward bias, predictability, term structure
Exchange rates, economic fundamentals, forecasting, present value model
File name: DP9472.
economic fundamentals, Exchange rates, forecasting, present value model
Empirical Asset Pricing, Exchange Rates, Uncovered Equity Parity, International Asset Allocation
Empirical asset pricing, exchange rates, international asset allocation.
File name: DP10685.
Empirical Asset Pricing, Exchange Rates, International Asset Allocation
Exchange rates, currency risk premium, sovereign risk, CDS spreads
Exchange Rates, Carry Trade, Market Variance, Average Variance, Average Correlation, Quantile Regression
term structure of interest rates, expectations hypothesis, affine models, risk premia, statistical predictability, economic value
Asset pricing, exchange rates, international parity conditions, market integration, stochastic discount factor
Foreign exchange, uncovered interest parity, forward bias, nonlinearity
scapegoat, exchange rates, economic fundamentals, survey data, order flow
scapegoat, exchange rates, economic fundamentals, survey data
File name: DP8812.
economic fundamentals, exchange rates, order flow, scapegoat, survey data
Institutional investors; pension funds; herding; portfolio rebalancing.
current account, global imbalances, exchange rates, Bayesian VAR, sign restrictions
File name: DP7614.
Bayesian VAR, current account, exchange rates, global imbalances
Order Flow, Foreign Exchange Risk Premia, Heterogeneous Information, Carry Trades
Expectation Hypothesis, Term Structure of Interest Rates, Vector Autoregression, Economic Value
File name: DP6445.
economic value, expectation hypothesis, term structure of interest rates, vector autoregression
foreign exchange, uncovered interest parity, forward bias, nonlinearity
Forward bias puzzle, uncovered interest parity, nonlinearity
File name: SSRN-id909214.
foreign exchange intervention, exchange rate regimes, effectiveness measures, communication, capital controls
Foreign exchange intervention, exchange rate regimes, effectiveness measures, communication, capital controls
foreign exchange, predictability, global imbalances, fundamentals
File name: DP8045.
foreign exchange, fundamentals, global imbalances, predictability
exchange rate, purchasing power parity, forecasting nonlinearity
Order flow, Canadian dollar, Future commodity
File name: DP3281.
Foreign exchange, term structure, forecasting, non-linearity, Markov switching
foreign exchange, liquidity, order flow, microstructure
activism, learning, monetary policy, open economy
File name: DP2913.
Foreign exchange, purchasing power parity, real exchange rate
File name: DP2690.
Non-Linear Dynamics, Purchasing Power Parity, Real Exchange Rate, Test Power, Unit Root Test
File name: SSRN-id709148.
Term structure of interest rates, markov switching, forecasting
Exchange rates, risk premium, order flow
File name: SSRN-id840809.
Expectations hypothesis, term structure of interest rates, vector autoregression
International Portfolio Flows, Dynamic Factor Model, Push and Pull Factors.
File name: SSRN-id480603.
Interest rate rules, asset prices, exchange rates, monetary policy
Asset Prices, exchange rates, interest rate rules, monetary policy.
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: ecno.
File name: DP3377.
Law of one price, purchasing power parity, real exchange rate, threshold non-linearity, mean reversion
File name: jbfa.
File name: SSRN-id549142.
Foreign exchange, monetary fundamentals, forecasting, parameter uncertainty, optimal portfolio
File name: SSRN-id774164.
Financial accelerator, credit cycle, international business cycles, Kalman filter
File name: caje.
File name: DP3983.
Foreign exchange, monetary fundamentals, non-linearity, regime switching
File name: DP3249.
Demand for money, adjustment costs, equilibrium correction, non-linear dynamics
File name: DP3225.
Interest rates, term structure, equilibrium correction, non-linear dynamics
File name: SSRN-id608245.
Federal fund rate, forecasting, term structure, nonlinearity
File name: SSRN-id549321.
Asset prices, international spillovers, forecasting, non-linearity
File name: SSRN-id666807.
Monetary policy, open economy, learning
File name: OBES250.
File name: obes.
File name: DP7225.
exchange rates, forecasting, macroeconomic news, microstructure, order flow
File name: DP6598.
Bayesian MCMC Estimation, Bayesian Model Averaging, Economic Value, Exchange Rates, Forward Premium, Monetary Fundamentals, Volatility
F31, F37, G11
File name: DP6638.
Economic fundamentals, exchange rates, forecasting
File name: DP7893.
Foreign Exchange, Forward Volatility Agreement, Implied Volatility, Unbiasedness, Volatility Speculation
Implied Volatility, Foreign Exchange, Forward Volatility Agreement, Unbiasedness, Volatility Speculation
foreign exchange volume, currency returns, information asymmetry, transaction costs
Banks, sovereign risk, risk premium, government guarantee
exchange rates, currency risk premium, business cycle risk
File name: DP11324.
Currency value, macro fundamentals, predictability, real exchange rate
consumption, credit, liquidity constraints, Euler equation, financial liberalization, nonlinearity
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