Matteo Maggiori

New York University Stern School of Business

Assistant Professor

New York, NY

United States

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Conditional Risk Premia in Currency Markets and Other Asset Classes

CEPR Discussion Paper No. DP9484
Number of pages: 58 Posted: 30 May 2013
Martin Lettau, Matteo Maggiori and Michael Weber
University of California - Haas School of Business, New York University Stern School of Business and University of Chicago - Finance
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Abstract:

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Carry Trade, Conditional risk premia, Cross Section of Equities and Commodities, Currency Returns, Downside Risk, Exchange Rates, UIP