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Modelling asset prices with time-varying betas

Hall, Stephen G. - In: The Manchester School of Economic and Social Studies 57 (1989) 4, pp. 340-356

Persistent link: https://www.econbiz.de/10001077498

Common macro factors and currency premia

Filippou, Ilias; Taylor, Mark P. - 2014

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The opportunity set : market opportunities and the effective breadth of a portfolio

Grinold, Richard; Taylor, Mark P. - In: The journal of portfolio management : a publication of … 35 (2008/09) 2, pp. 12-24

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Common macro factors and currency premia

Filippou, Ilias; Taylor, Mark P. - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 4, pp. 1731-1763

Persistent link: https://www.econbiz.de/10011928406

Technical trading : is it still beating the foreign exchange market?

Hsu, Po-Hsuan; Taylor, Mark P.; Wang, Zigan - In: Journal of international economics 102 (2016), pp. 188-208

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Global political risk and currency momentum

Filippou, Ilias; Gozluklu, Arie E.; Taylor, Mark P. - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 5, pp. 2227-2259

Persistent link: https://www.econbiz.de/10011959087

Modelling portfolio capital flows in a global framework : multilateral implications of capital controls

Boero, Gianna; Mandalinci, Zeyyad; Taylor, Mark P. - In: Journal of international money and finance 90 (2019), pp. 142-160

Persistent link: https://www.econbiz.de/10012132969

Exchange rate prediction with machine learning and a smart carry trade portfolio

Filippou, Ilias; Rapach, David E.; Taylor, Mark P.; … - 2020

Persistent link: https://www.econbiz.de/10012305708

Prospect theory and currency returns : empirical evidence

Xu, Qi; Kozhan, Roman; Taylor, Mark P. - 2020

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Global Political Risk and Currency Momentum

Filippou, Ilias - 2016

Using a measure of global political risk, relative to the U.S., that captures unexpected political conditions, we show that political risk is priced in the cross section of currency momentum and contains information beyond other risk factors. Our results are robust after controlling for...

Persistent link: https://www.econbiz.de/10013005726