When Carry Trades in Currency Markets are not Profitable-Reference-Cited by-同舟云学术

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When Carry Trades in Currency Markets are not Profitable

Published:2014-10-08 Issue:4 Volume:18 Page:794-803
ISSN:1363-6669
Container-title:Review of Development Economics
language:en
Short-container-title:Review of Development Economics

Author:

Baillie Richard T.¹²³,Cho Dooyeon⁴

Affiliation:

1. Departments of Economics and Finance; Michigan State University; East Lansing MI 48824-1024 USA

2. School of Economics and Finance; Queen Mary University of London; UK

3. Rimini Center for Economic Analysis; Italy

4. Department of Economics; Kookmin University; Seoul 136-702 Republic of Korea

Publisher

Wiley

Subject

Development,Geography, Planning and Development

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/rode.12119/fullpdf

Reference23 articles.

1. Estimating and Testing Linear Models with Multiple Structural Changes;Bai;Econometrica,1998

2. Computation and Analysis of Multiple Structural Change Models;Bai;Journal of Applied Econometrics,2003

3. The Long Memory of the Forward Premium;Baillie;Journal of International Money and Finance,1994

4. The Forward Premium Anomaly is Not as Bad as You Think;Baillie;Journal of International Money and Finance,2000

5. Carry Trades, Momentum Trading and the Forward Premium Anomaly;Baillie;Journal of Financial Markets,2011

Cited by 11 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The forward premium anomaly and the currency carry trade hypothesis;The Quarterly Review of Economics and Finance;2024-06

2. On asymmetric volatility effects in currency markets;Empirical Economics;2021-07-05

3. A Revisit on the Validity of the Uncovered Interest Rate Parity-Evidence from Time-Varying Parameter Models;Applied Economics;2021-06-01

4. On the predictability of the distribution of excess returns in currency markets;International Journal of Forecasting;2021-04

5. The tail behavior of safe haven currencies: A cross-quantilogram analysis;Journal of International Financial Markets, Institutions and Money;2021-01

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