Demirer, Rıza; Gupta, Rangan; Hassani, Hossein; Huang, Xu - In: Economies : open access journal 8 (2020) 1/18, pp. 1-12
This paper examines the predictive power of time-varying risk aversion over payoffs to the carry trade strategy via the … daily carry trade returns tracked by the Deutsche Bank G10 Currency Future Harvest Total Return Index. The predictive power … extreme fluctuations in carry trade returns. While large crashes in carry trade returns are associated with significant rises …