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The conditional volatility premium on currency portfolios

Byrne, Joseph P.; Sakemoto, Ryuta - In: Journal of international financial markets, … 74 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10012803308

Currency carry trades and the conditional factor model

Sakemoto, Ryuta - In: International review of financial analysis 63 (2019), pp. 198-208

Persistent link: https://www.econbiz.de/10012207443

Applications of Advanced Time Series Models to Analyze the Time-varying Relationship between Macroeconomics, Fundamentals and Pan-European Industry Portfolios ; Anwendungen moderner Zeitreihenverfahren zur Analyse zeitvariabler Zusammenhänge zwischen gesamtwirtschaftlichen Entwicklungen, Fundamentaldaten und europäischen Branchenportfolios

Mergner, Sascha - 2008

Persistent link: https://www.econbiz.de/10010353162

Hedging the time-varying risk exposures of momentum returns

Martens, Martin; van Oord, Arco - In: Journal of Empirical Finance 28 (2014) C, pp. 78-89

Momentum returns have time-varying exposures to the three Fama and French equity risk factors. In particular factor loadings are higher when the factor returns during the ranking period are higher. In this study we look at momentum returns after hedging these time-varying exposures to the Fama...

Persistent link: https://www.econbiz.de/10010939526

Hedging the time-varying risk exposures of momentum returns

Martens, Martin; Oord, Arco van - In: Journal of empirical finance 28 (2014), pp. 78-89

Persistent link: https://www.econbiz.de/10011284506