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 …

(2006), to determine the volatility spillovers between interest rates and stock returns for the US, the euro area, the UK …, and Japan. The investigation pays careful attention to volatility transmissions between stock returns and interest rates … causality is observed, the volatility spillover from interest rates to stock markets are more prominent for the full-sample, as …