Crash-Neutral Currency Carry Trades

By Jakub Jurek. 2014

259 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/198039f48b0c393604327216f151610392a2395c

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Citations in the corpus

Risk and Return Spillovers Among the G10 Currencies (2016, methodology): “Among the early papers in this literature, Kearney and Patton (2000) and Hong (2001) use GARCH-type models to construct latent measures of volatility.”
The Share of Systematic Variation in Bilateral Exchange Rates (2018, background): “DeSantis and Fornari (2008), Jurek (2008), Menkhoff, Sarno, Schmeling, and Schrimpf (forthcoming), Farhi, Fraiberger, Gabaix, Ranciere, and Verdelhan (2009), Christiansen, Ranaldo, and Soderlind (2011), Galsband and Nitschka (2010), Gilmore and Hayashi (2011) study the properties of one-month intere”
Properties of Foreign Exchange Risk Premiums (2012, background): “Related Literature in More Detail Earlier papers that study the link between interest rates and exchange rates with term structure factor models include Nielsen and Saá-Requejo (1993), Saá-Requejo (1994), Bakshi and Chen (1997), and Bansal (1997).”
Noise as Information for Illiquidity: Noise as Information for Illiquidity (2013, unknown): “See, for example, Merton (1987), Leland and Rubinstein (1988), Shleifer and Vishny (1997), Gromb and Vayanos (2002), Brunnermeier and Pedersen (2009) and Duffie (2010).”
Beyond the Carry Trade: Optimal Currency Portfolios (2015, background): “…2Barro (2006), Fahri and Gabaix (2007), Gourio, Siemer, and Verdelhan (2011), Burnside, Eichenbaum, Kleshchelski, and Rebelo (2011). abnormal returns, lending some support to this view, but the remaining returns depend crucially on the particular option strategy used for hedging (Jurek (2009)).”
Conditional Risk Premia in Currency Markets and Other Asset Classes (2014, unknown): “Among a vast international finance literature, Lustig and Verdelhan (2007) provide an explanation for the cross section of currency returns based on the durable consumption CAPM (DC-CAPM).”
Variance Risk Premiums and the Forward Premium Puzzle (2012, unknown): “Using different methodologies, Farhi, Fraiberger, Gabaix, Ranciere, and Verdelhan (2009), Jurek (2009), and Brunnermeier, Nagel, and Pedersen (2008) relate the high observed prices of currency options to the desire of agents to hedge rare and severe changes in exchange rate movements and find that…”
Currency Premia and Global Imbalances (2016, unknown): “…(the riskiest currencies), are 4Other papers studying carry trade returns include Brunnermeier, Nagel and Pedersen (2009), Christiansen, Ranaldo and Söderlind (2011), Colacito and Croce (2013), Farhi and Gabaix (2014), Farhi, Fraiberger, Gabaix, Ranciere and Verdelhan (2014) and Jurek (2014).”