contain little momentum. Consequently, factor momentum not only outperforms the cross-sectional and time series momentum but … also explains them. Limits to arbitrage and time-varying risk premium help explain factor momentum …This paper shows that the cross-sectional and time series momentum in currencies, which cannot be explained by carry …

Many recent papers have investigated the role played by volatility in determining the cross-section of currency returns …. This paper employs two time-varying factor models: a threshold model and a Markov-switching model to price the excess … returns from the currency carry trade. We show that the importance of volatility depends on whether the currency markets are …

broad dollar exchange rate. Attempts to explain the dollar factor yield modest evidence for a balance sheet mechanism, and …