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Imperial College London
Centre for Economic Policy Research (CEPR)
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Exchange Rates, Volatility Risk Premium, Predictability, Minimum-Variance Currency Portfolio
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP9549.
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Exchange Rate, Hedgers, Order Flow, Predictability, Speculators, Volatility Risk Premium
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, currency risk premium, sovereign risk, CDS spreads
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, predictability, global imbalances, fundamentals
File name: DP8045.
foreign exchange, fundamentals, global imbalances, predictability
File name: DP6598.
Bayesian MCMC Estimation, Bayesian Model Averaging, Economic Value, Exchange Rates, Forward Premium, Monetary Fundamentals, Volatility
F31, F37, G11
File name: DP7893.
Foreign Exchange, Forward Volatility Agreement, Implied Volatility, Unbiasedness, Volatility Speculation
Implied Volatility, Foreign Exchange, Forward Volatility Agreement, Unbiasedness, Volatility Speculation
analyst forecasts, carry trade, currency risk premium, global imbalances, macro uncertainty
Forward Volatility Agreement, Foreign Exchange Volatility, Risk Premium, Term Structure
Short-term reversal, Liquidity, Market closure
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