Crash Risk in Currency Markets

By Emmanuel Farhi, Samuel P. Fraiberger, Xavier Gabaix, Romain Rancière, A. Verdelhan. 2015

135 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c00533a0407a0f6af6bacc0ca8bea1f693007169

Citations in the corpus

• Predictability of Currency Carry Trades and Asset Pricing Implications (2013, unknown): “First, we test whether expected payoffs across the four carry trades move together, using a latent-variable model (as developed in Hansen and Hodrick (1983); see also Gibbons and Ferson (1985), Campbell and Hamao (1992), Ilmanen (1995), and Cochrane and Piazzesi (2005)).”
• Disaster Risk and its Implications for Asset Pricing (2015, unknown): “, iid models of stock prices (Barro 2006), dynamic models of stock prices (Longstaff & Piazzesi 2004, Wachter 2013), and exchange rate models (Farhi et al. 2015).”