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My bibliography Save this paperThe Time-Varying Systematic Risk of Carry Trade Strategies
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- Christiansen, Charlotte & Ranaldo, Angelo & Söderlind, Paul, 2011. "The Time-Varying Systematic Risk of Carry Trade Strategies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(4), pages 1107-1125, August.
- Söderlind, Paul & Christiansen, Charlotte & Ranaldo, Angelo, 2009. "The Time-Varying Systematic Risk of Carry Trade Strategies," CEPR Discussion Papers 7345, C.E.P.R. Discussion Papers.
- Charlotte Christiansen & Angelo Ranaldo & Paul Söderlind, 2010. "The Time-Varying Systematic Risk of Carry Trade Strategies," Working Papers 2010-01, Swiss National Bank.
- Paul Soderlind & Angelo Ranaldo & Charlotte Christiansen, 2009. "The Time-Varying Systematic Risk of Carry Trade Strategies," University of St. Gallen Department of Economics working paper series 2009 2009-06, Department of Economics, University of St. Gallen.
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More about this item
Keywords
carry trade; factor model; smooth transition regression; time- varying betas;All these keywords.
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2009-05-02 (Financial Markets)
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