Carry Trades and Risk
By Craig Burnside. 2011
124 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/82042b65a67187296ddd9336f0e5a88b568c45cb
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Sergio Rebelo
- Martin Eichenbaum
- A. C. Burnside
- Craig Burnside
- Guido Lorenzoni
- Martin Uribe
- F. Mat
- Emi Nakamura
In Finance
- Sergio Rebelo
- A. C. Burnside
- Martin Eichenbaum
- Craig Burnside
- Charles M. Engel
- Jeffrey A. Frankel
- José-Víctor Ríos-Rull
- Raül Santaeulàlia-Llopis
Citations in the corpus
- Carry Trade and Momentum in Currency Markets (2011, result): “So, the DOL and HMLFX factors create, by construction, a pattern in the betas similar to that in Table 5.10 DOL and HMLFX also have positive and significant betas for the equally-weighted carry trade portfolio, but the R2 is 10See Burnside (2011) for a detailed discussion.”
- Beyond the Carry Trade: Optimal Currency Portfolios (2015, unknown): “rp;t rft = + 0RMRFt+ 1RMRFtzt 1+ 2Rbonds ;t+ 3Rbonds ;tzt 1+ "t (10)”
- Conditional Risk Premia in Currency Markets and Other Asset Classes (2014, unknown): “This insight is supported by a growing empirical literature including Brunnermeier, Nagel, and Pedersen (2008); Burnside (2011a); Lustig and Verdelhan (2011); Christiansen, Ranaldo, and Soederlind (2011); Mueller, Stathopoulos, and Vedolin (2012) all of which find a state dependent correlation.”