Carry Trade and Systemic Risk: Why are FX Options so Cheap?
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Cited by:
- repec:now:jnlcfr:104.00000051 is not listed on IDEAS
- Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2014.
"Conditional risk premia in currency markets and other asset classes,"
Journal of Financial Economics,
Elsevier, vol. 114(2), pages 197-225.
- Martin Lettau & Matteo Maggiori & Michael Weber, 2013. "Conditional Risk Premia in Currency Markets and Other Asset Classes," NBER Working Papers 18844, National Bureau of Economic Research, Inc.
- Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2013. "Conditional Risk Premia in Currency Markets and Other Asset Classes," CEPR Discussion Papers 9484, C.E.P.R. Discussion Papers.
- Jurek, Jakub W., 2014. "Crash-neutral currency carry trades," Journal of Financial Economics, Elsevier, vol. 113(3), pages 325-347.
- Daniel, Kent & Hodrick, Robert J. & Lu, Zhongjin, 2017.
"The Carry Trade: Risks and Drawdowns,"
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now publishers, vol. 6(2), pages 211-262, September.
- Kent Daniel & Robert J. Hodrick & Zhongjin Lu, 2014. "The Carry Trade: Risks and Drawdowns," NBER Working Papers 20433, National Bureau of Economic Research, Inc.
More about this item
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G01 - Financial Economics - - General - - - Financial Crises
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2013-01-07 (All new papers)
- NEP-IFN-2013-01-07 (International Finance)
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