On the predictability of the distribution of excess returns in currency markets
Year of publication: |
2021
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Authors: | Cho, Dooyeon |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 37.2021, 2, p. 511-530
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Subject: | Carry trade | Currency return predictability | FX volatility | Liquidity risk factors | Predictive quantile regression | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Devisenmarkt | Foreign exchange market | Volatilität | Volatility | Regressionsanalyse | Regression analysis | Schätzung | Estimation | Risikoprämie | Risk premium | Wechselkurs | Exchange rate | Währungsspekulation | Currency speculation | Theorie | Theory |
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