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Predictability of currency carry trades and asset pricing implications

Bakshi, Gurdip S.; Panayotov, George - In: Journal of financial economics 110 (2013) 1, pp. 139-163

Persistent link: https://www.econbiz.de/10010207758

A recovery that we can trust? : deducing and testing the restrictions of the recovery theorem

Bakshi, Gurdip S.; Chabi-Yo, Fousseni; Gao, Xiaohui - In: The review of financial studies 31 (2018) 2, pp. 532-555

Persistent link: https://www.econbiz.de/10011925241

Recovery with applications to forecasting equity disaster probability and testing the spanning hypothesis in the treasury market

Bakshi, Gurdip S.; Gao, Xiaohui; Xue, Jinming - In: Journal of financial and quantitative analysis : JFQA 58 (2023) 4, pp. 1808-1842

Persistent link: https://www.econbiz.de/10014309628

Predictability of Currency Carry Trades and Asset Pricing Implications

Bakshi, Gurdip S. - 2012

This paper studies the time-series predictability of currency carry trades, constructed by selecting currencies to be bought or sold against the U.S. dollar, based on forward discounts. Changes in a commodity index, currency volatility and, to a lesser extent, a measure of liquidity predict...

Persistent link: https://www.econbiz.de/10013113110

Dynamic asset allocation with ambiguous return predictability

Chen, Hui; Ju, Nengjiu; Miao, Jianjun - 2009

Persistent link: https://www.econbiz.de/10003832408

Dynamic asset allocation with ambiguous return predictability

Chen, Hui; Ju, Nengjiu; Miao, Jianjun - In: Review of economic dynamics 17 (2014) 4, pp. 799-823

Persistent link: https://www.econbiz.de/10011281431