Bakshi, Gurdip; Panayotov, George - In: Journal of Financial Economics 110 (2013) 1, pp. 139-163
This paper studies the time series predictability of currency carry trades, constructed by selecting currencies to be … bought or sold against the US dollar, based on forward discounts. Changes in a commodity index, currency volatility and, to a … carry trades and their currency components. We test the theoretical restrictions that an asset pricing model, with average …