Michael Broll

University of Duisburg-Essen - Department of Economics and Business Administration

Universitätsstr. 9

Essen, 45141

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

767

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

The Carry Trade and Implied Moment Risk

Number of pages: 47 Posted: 06 May 2016 Last Revised: 13 Oct 2016
Michael Broll
University of Duisburg-Essen - Department of Economics and Business Administration
Downloads 350 (93,441)

Abstract:

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Carry Trade Activity, Crash Risk, Liquidity Spirals, Option-Implied Risk, Mimicking Portfolios, Currency, Uncovered Interest Rate Parity

2.

The Skewness Risk Premium in Currency Markets

Journal of Economic Modelling, 2016
Number of pages: 59 Posted: 19 Feb 2016 Last Revised: 20 Oct 2016
Michael Broll
University of Duisburg-Essen - Department of Economics and Business Administration
Downloads 244 (137,397)
Citation 1

Abstract:

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skewness risk, Sharpe ratio, currency market risk, implied moments, skew swap

3.

Using Option-Implied Information to Improve Currency Carry Trade Profits

Number of pages: 47 Posted: 13 Oct 2016 Last Revised: 09 Apr 2017
Michael Broll
University of Duisburg-Essen - Department of Economics and Business Administration
Downloads 173 (189,152)

Abstract:

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portfolio policy, carry trade, implied variance, currency portfolio, crash risk