The Time-Varying Systematic Risk of Carry Trade Strategies

By A. Boral. 2012

234 citations recorded by the source corpus.

How researchers see this paper

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A Comprehensive Look at Financial Volatility Prediction by Economic Variables (2011, unknown): “…body of evidence that risks associated with volatility are priced in stock, option, bond, and foreign exchange markets (e.g. Ang, Hodrick, Xing, and Zhang, 2006, Da and Schaumburg, 2009, Menkhoff, Sarno, Schmeling, and Schrimpf, 2010, Christiansen, Ranaldo, and Söderlind, 2010 among others).”
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), and Mueller, Stathopoulos, and Vedolin (2012), all of which find a state dependent correlation.”
Carry Trades and Global Foreign Exchange Volatility (2012, unknown): “…(2009) price several asset classes with a pricing kernel that is linear in the aggregate stock market return and volatility innovations, and Christiansen, Ranaldo, and S¨oderlind (2011) show that volatility matters for the correlation between excess returns of stock markets and currencies.”
Beyond the Carry Trade: Optimal Currency Portfolios (2015, methodology): “There is evidence of time-varying risk exposures in the carry trade (Christiansen, Ranaldo, and Söderlind (2011)).”