Online Appendix for 'Currency Factors'
15 Pages Posted: 13 May 2020 Last revised: 21 Jan 2021
Date Written: April 16, 2020
This online appendix provides additional tables and data information mostly in the order it is referred to in the paper.
The full-text paper can be found at: https://ssrn.com/abstract=3022623.
Keywords: Currency Factors; Currency Comovements; Clustering; Factor Models; Currency Baskets; Global Pricing Kernels
JEL Classification: F31, G12
Suggested Citation: Suggested Citation