Exchange rate predictability, common factors, and applications in carry trade
Gokcen Ogruk-Maz, Shengxiong Wu, Sinan Yildirim
| Year of publication: |
2020
|
|---|---|
| Authors: | Ogruk-Maz, Gokcen ; Wu, Shengxiong ; Yildirim, Sinan |
| Published in: |
International journal of monetary economics and finance : IJMEF. - Genève [u.a.] : Inderscience Enterprises, ISSN 1752-0487, ZDB-ID 2471959-6. - Vol. 13.2020, 6, p. 513-530
|
| Subject: | carry trading strategies | common factors | exchange rate forecasting | common risk factors | carry factor | simulation | macro-fundamentals augmented models | factor augmented models | Taylor rule | emerging markets | Sharpe ratio | Wechselkurs | Exchange rate | Prognoseverfahren | Forecasting model | Devisenmarkt | Foreign exchange market | Schwellenländer | Emerging economies | Kapitaleinkommen | Capital income | Währungsspekulation | Currency speculation | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Welt | World | Zinsstruktur | Yield curve | Faktorenanalyse | Factor analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJMEF.2020.112181 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012515315