Online Appendix for 'Currency Factors'

15 Pages Posted: 13 May 2020 Last revised: 21 Jan 2021

See all articles by Arash Aloosh

Arash Aloosh

Neoma Business School

Geert Bekaert

Columbia Business School - Finance and Economics

Date Written: April 16, 2020

Abstract

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

Aloosh, Arash and Bekaert, Geert, Online Appendix for 'Currency Factors' (April 16, 2020). Available at SSRN: https://ssrn.com/abstract=3201860 or http://dx.doi.org/10.2139/ssrn.3201860

Arash Aloosh (Contact Author)

Neoma Business School ( email )

1 Rue du Maréchal Juin,
Mont Saint Aignan, 76130
France
+33232824736 (Phone)

Geert Bekaert

Columbia Business School - Finance and Economics ( email )

3022 Broadway
New York, NY 10027
United States

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