Carry trade strategies based on option-implied information: Evidence from a cross-section of funding currencies
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DOI: 10.1016/j.jimonfin.2017.07.020
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Cited by:
- Rongju Zhang & Mark Aarons & Gregoire Loeper, 2019. "Optimal FX Hedge Tenor with Liquidity Risk," Papers 1903.06346, arXiv.org.
- Hsu, Po-Hsuan & Taylor, Mark P. & Wang, Zigan & Li, Yan, 2024.
"The out-of-sample performance of carry trades,"
Journal of International Money and Finance, Elsevier, vol. 143(C).
- Taylor, Mark & Hsu, Po-Hsuan & Wang, Zigan, 2020. "The Out-of-Sample Performance of Carry Trades," CEPR Discussion Papers 15052, C.E.P.R. Discussion Papers.
- Gueorgui S. Konstantinov & Frank J. Fabozzi, 2022. "The Geometry of the World of Currency Volatilities," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 125-145, June.
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More about this item
Keywords
Carry trade; Currency options; Option-implied moments; Funding currencies; Carry trade unwinding;All these keywords.
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
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