Spillovers of currency carry trade returns, market risk sentiment, and US market returns
Hsiu-Chuan Lee; Shu-Lien Chang
| Year of publication: |
2013
|
|---|---|
| Authors: | Lee, Hsiu-chuan ; Chang, Shu-lien |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 26.2013, p. 197-216
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| Subject: | Currency carry trade markets | Spillover effects | Market risk sentiment | Generalized VAR model | Markov-switching model | Kapitaleinkommen | Capital income | Spillover-Effekt | Spillover effect | Devisenmarkt | Foreign exchange market | VAR-Modell | VAR model | USA | United States | Schock | Shock | Volatilität | Volatility | Währungsspekulation | Currency speculation | Portfolio-Management | Portfolio selection | Marktrisiko | Market risk | Risikoprämie | Risk premium |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010364814