Cenedese, Gino; Sarno, Lucio; Tsiakas, Ilias - Rimini Centre for Economic Analysis (RCEA) - 2014
This paper provides an empirical investigation of the time-series predictive ability of foreign exchange risk measures on the return to the carry trade, a popular investment strategy that borrows in low-interest currencies and lends in high-interest currencies. Using quantile regressions, we nd...