The time-varying risk price of currency portfolios

Author:

Byrne Joseph P.,Ibrahim Boulis Maher,Sakemoto Ryuta

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference72 articles.

1. Regression-based Estimation of Dynamic Asset Pricing Models;Adrian;J. Financ. Econ.,2015

2. Arbitrage in the Foreign Exchange Market: Turning on the Microscope;Akram;J. Int. Econ.,2008

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4. Stock Return Predictability: Is It There?;Ang;Rev. Financ. Stud.,2007

5. Testing Conditional Factor Models;Ang;J. Financ. Econ.,2012

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1. Cross-momentum strategies in the equity futures and currency markets;Journal of International Money and Finance;2024-10

2. Risk price decomposition and the output gap;Financial Review;2024-05-20

3. Conditional Currency Momentum Portfolios;SSRN Electronic Journal;2023

4. Cross-momentum strategies in the equity futures and currency markets;SSRN Electronic Journal;2023

5. Dynamic allocations for currency investment strategies;The European Journal of Finance;2022-08-07

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