Cross-asset return predictability : carry trades, stocks and commodities
Helen Lu, Ben Jacobsen
| Year of publication: |
June 2016
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|---|---|
| Authors: | Lu, Helen ; Jacobsen, Ben |
| Published in: |
Journal of international money and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0261-5606, ZDB-ID 872014-9. - Vol. 64.2016, p. 62-87
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| Subject: | Carry trade | Gradual information diffusion | Return predictability | Safe-haven currencies | Time-varying risk premium | Vector auto regression | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Risikoprämie | Risk premium | Devisenmarkt | Foreign exchange market | Währungsspekulation | Currency speculation | Schätzung | Estimation | Regressionsanalyse | Regression analysis | Währungsrisiko | Exchange rate risk | Portfolio-Management | Portfolio selection | Wechselkurs | Exchange rate | Welt | World | Kapitalmarktrendite | Capital market returns | Prognose | Forecast | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jimonfin.2016.02.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011668380