| Reference: | Berge, Travis, Òscar Jordà, and Alan M. Taylor. (2010),""Currency carry trades.`` NBER International Seminar on Macroeconomics 2010, University of Chicago Press, 357-387.
Brunnermeier, Markus K., Stefan Nagel, and Lasse H. Pedersen. (2009),""Carry trades and currency crashes.`` NBER Macroeconomics Annual 2008, 23, 313-347.
Burnside, Craig, Martin Eichenbaum, Isaac Kleshchelski and Sergio Rebelo. (2006),
""The returns to currency speculation.`` National Bureau of Economic Research, No. w12916
Burnside, Craig. (2011), ""Carry trades and risks.`` National Bureau of Economic Research, No. w17278
Christiansen, Charlotte, Angelo Ranaldo, and Paul Söderlind. (2011), ""The time-varying systematic risk of carry trade strategies.`` Journal of Financial and Quantitative Analysis, 46(4), 1107-1125.
Clarida, Richard, Josh Davis, and Niels Pedersen. (2009), ""Currency carry trade refimes: beyond the Fama regression.`` Journal of International Money and Finance, 28(8), 1375-1389.
Daniel, Kent, Robert J. Hodrick, and Zhongjin Lu. (2016), ""The carry trade: risk and drawdowns.`` National Bureau of Economic Research, No. w20433.
Engel, Charles. (1996), ""The forwead discount anomaly and the risk premium: A survey of recent evidence.`` Journal of Empirical Finance, 3(2), 123-192.
Fama, Eugene F. (1984), ""Forward and spot exchange rates.`` Journal of Monetary Economics, 14(3), 319-338.
Hamilton, James D. (1989), ""A new approach to the economic analysis of nonstationary time series and the business cycle.`` Econometrica, 57(2), 357-384.
Lustig, Hanno, Nikolai Roussanov, and Adrien Verdelhan. (2011), ""Common risk factors in currency market.`` Review of Financial Studies, 24(11), 3731-3777.
Menkhoff, Lukas, Lucio Sarno, Maik Schmeling, Andreas Schrimpf. (2012), ""Carry trade and global foreign exchange volatility.`` Journal of Finance, 67(2), 681-718. |
