Showing 1 - 10 of 12
Persistent link: https://www.econbiz.de/10001712389
Persistent link: https://www.econbiz.de/10002836134
Persistent link: https://www.econbiz.de/10003710613
Persistent link: https://www.econbiz.de/10001763109
Persistent link: https://www.econbiz.de/10001712375
Persistent link: https://www.econbiz.de/10001614001
In this paper, we analyse the relationship between the currency carry return and volatility and liquidity risk factors. We find that both categories of risk factors are relevant to understanding and explaining carry return, with an outperformance for volatility ones especially the global FX...
Persistent link: https://www.econbiz.de/10012989965
Persistent link: https://www.econbiz.de/10011447330
Persistent link: https://www.econbiz.de/10011582471
This paper addresses the puzzle of regime-dependent volatility in foreign exchange. We extend the literature in two ways. First, our microstructural model provides a qualitatively new explanation for the puzzle. Second, we test implications of our model using Europe's recent shift to rigidly...
Persistent link: https://www.econbiz.de/10012763111