Risk and return in the foreign exchange market: Measurement without VARs
Author:
Affiliation:
1. Department of Economics Virginia Tech Blacksburg Virginia USA
Publisher
Wiley
Subject
Finance,Development,Geography, Planning and Development
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/infi.12422
Reference27 articles.
1. Ang A. &Chen J. S.(2010).Yield curve predictors of foreign exchange returns. Mimeo.
2. Affine Term Structure Models and the Forward Premium Anomaly
3. Backus D. Gavazzano F. Telmer C. &Zin S. E.(2010).Monetary policy and the uncovered interest parity puzzle(NBER Working Paper).
4. The real exchange rate in the long run: Balassa-Samuelson effects reconsidered
5. Carry Trades and Currency Crashes
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