Beyond the Carry Trade: Optimal Currency Portfolios

By Pedro Barroso, Pedro Santa-clara. 2015

156 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5d77995183c05666d8457eb74553ef1bbbd306d4

Citations in the corpus

• Currency Premia and Global Imbalances (2016, unknown): “Jylha and Suominen, 2011; Barroso and Santa-Clara, 2014). However, our interpretation of is, much like GM (2014), that it re‡ects shocks to global risk aversion and hence the change in VIX seems a reasonable proxy.”
• Demystifying Time‐Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations (2020, unknown): “Before presenting the empirical analysis on transaction costs, it is worth comparing our costs model to the one used by Barroso and Santa-Clara (2015a). The TSMOM strategy (or any other futures-based strategy) incurs, as already explained, two different types of costs that are distinctly different a”