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Conditional Risk Premia in Currency Markets and Other Asset Classes

Citations

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Cited by:

  1. Segal, Gill & Shaliastovich, Ivan & Yaron, Amir, 2015. "Good and bad uncertainty: Macroeconomic and financial market implications," Journal of Financial Economics, Elsevier, vol. 117(2), pages 369-397.
  2. Jozef Baruník & Matěj Nevrla, 2023. "Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices," Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1590-1646.
  3. Wenna Lu & Laurence Copeland & Yongdeng Xu, 2023. "The pricing of unexpected volatility in the currency market," The European Journal of Finance, Taylor & Francis Journals, vol. 29(17), pages 2032-2046, November.
  4. Paul Schneider & Christian Wagner & Josef Zechner, 2020. "Low‐Risk Anomalies?," Journal of Finance, American Finance Association, vol. 75(5), pages 2673-2718, October.
  5. Iwanaga, Yasuhiro & Sakemoto, Ryuta, 2025. "Conditional currency momentum portfolios," International Review of Financial Analysis, Elsevier, vol. 99(C).
  6. Andrew Lilley & Matteo Maggiori & Brent Neiman & Jesse Schreger, 2022. "Exchange Rate Reconnect," The Review of Economics and Statistics, MIT Press, vol. 104(4), pages 845-855, October.
  7. Gospodinov, Nikolay & Robotti, Cesare, 2021. "Common pricing across asset classes: Empirical evidence revisited," Journal of Financial Economics, Elsevier, vol. 140(1), pages 292-324.
  8. Pasquale Della Corte & Lucio Sarno & Maik Schmeling & Christian Wagner, 2022. "Exchange Rates and Sovereign Risk," Management Science, INFORMS, vol. 68(8), pages 5591-5617, August.
  9. Dobrynskaya, Victoria, 2018. "Pricing within and across asset classes," Finance Research Letters, Elsevier, vol. 25(C), pages 10-15.
  10. Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2017. "International correlation risk," Journal of Financial Economics, Elsevier, vol. 126(2), pages 270-299.
  11. Albert S. (Pete) & Karamfil Todorov, 2023. "The cumulant risk premium," BIS Working Papers 1128, Bank for International Settlements.
  12. Valadkhani, Abbas, 2023. "Asymmetric downside risk across different sectors of the US equity market," Global Finance Journal, Elsevier, vol. 57(C).
  13. Michael Weber & Christian Dorion & Alexandre Jeanneret & Harjoat Bhamra, 2017. "Deflation, Sticky Leverage and Asset Prices," 2017 Meeting Papers 796, Society for Economic Dynamics.
  14. Yaron Levi & Ivo Welch & Andrew Karolyi, 2020. "Symmetric and Asymmetric Market Betas and Downside Risk," The Review of Financial Studies, Society for Financial Studies, vol. 33(6), pages 2772-2795.
  15. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022. "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, vol. 124(C).
  16. Yang Liu & Mariano Croce & Ivan Shaliastovich & Ric Colacito, 2016. "Volatility Risk Pass-Through," 2016 Meeting Papers 135, Society for Economic Dynamics.
  17. Sakemoto, Ryuta, 2019. "Currency carry trades and the conditional factor model," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 198-208.
  18. Koijen, Ralph S.J. & Moskowitz, Tobias J. & Pedersen, Lasse Heje & Vrugt, Evert B., 2018. "Carry," Journal of Financial Economics, Elsevier, vol. 127(2), pages 197-225.
    • Ralph S.J. Koijen & Tobias J. Moskowitz & Lasse Heje Pedersen & Evert B. Vrugt, 2013. "Carry," NBER Working Papers 19325, National Bureau of Economic Research, Inc.
    • Moskowitz, Tobias J & Pedersen, Lasse Heje & Koijen, Ralph & Vrugt, Evert B., 2013. "Carry," CEPR Discussion Papers 9771, C.E.P.R. Discussion Papers.
  19. Marianne Andries & Valentin Haddad, 2020. "Information Aversion," Journal of Political Economy, University of Chicago Press, vol. 128(5), pages 1901-1939.
  20. Victoria Dobrynskaya & Mikhail Dubrovskiy, 2022. "Cryptocurrencies Meet Equities: Risk Factors And Asset Pricing Relationships," HSE Working papers WP BRP 86/FE/2022, National Research University Higher School of Economics.
  21. Pasquale Della Corte & Steven J. Riddiough & Lucio Sarno, 2016. "Currency Premia and Global Imbalances," The Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2161-2193.
  22. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2018. "Common information in carry trade risk factors," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 37-47.
  23. Colacito, Riccardo & Riddiough, Steven J. & Sarno, Lucio, 2020. "Business cycles and currency returns," Journal of Financial Economics, Elsevier, vol. 137(3), pages 659-678.
  24. Kerstin Bernoth & Jürgen Von Hagen & Casper De Vries, 2022. "The Term Structure of Currency Futures' Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(1), pages 5-38, February.
  25. Gopinath, Gita & Meyer, Josefin & Reinhart, Carmen M. & Trebesch, Christoph, 2025. "Sovereign vs. corporate debt and default: More similar than you think," Journal of International Economics, Elsevier, vol. 155(C).
  26. Makhanya, Kabelo Collen & Bonga-Bonga, Lumengo & Manguzvane, Mathias Mandla, 2023. "Examining the dependence structure between carry trade and equity market returns in BRICS countries," MPRA Paper 117461, University Library of Munich, Germany.
  27. Savor, Pavel & Wilson, Mungo, 2014. "Asset pricing: A tale of two days," Journal of Financial Economics, Elsevier, vol. 113(2), pages 171-201.
  28. Cakici, Nusret & Zaremba, Adam, 2023. "Recency bias and the cross-section of international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
  29. Jinghui Chen & Edward Furman & Stephano Ricci & Judeto Shanthirajah, 2025. "Mean-tail Gini framework for optimal portfolio selection," Papers 2509.17225, arXiv.org.
  30. Wenxin Du & Benjamin Hébert & Amy Wang Huber & Stefano Giglio, 2023. "Are Intermediary Constraints Priced?," The Review of Financial Studies, Society for Financial Studies, vol. 36(4), pages 1464-1507.
  31. Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "The Time-Varying Risk Price of Currency Carry Trades," MPRA Paper 80788, University Library of Munich, Germany.
  32. Libo Yin & Jing Nie, 2021. "Intermediary asset pricing in currency carry trade returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1241-1267, August.
  33. Cakici, Nusret & Zaremba, Adam, 2022. "Salience theory and the cross-section of stock returns: International and further evidence," Journal of Financial Economics, Elsevier, vol. 146(2), pages 689-725.
  34. Filippou, Ilias & Taylor, Mark P., 2023. "Forward-Looking Policy Rules and Currency Premia," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 58(1), pages 449-483, February.
  35. Dong, Xue & Minford, Patrick & Meenagh, David, 2019. "How important are the international financial market imperfections for the foreign exchange rate dynamics: A study of the sterling exchange rate," Journal of International Money and Finance, Elsevier, vol. 94(C), pages 62-80.
  36. Zhenzhen Fan & Juan M. Londono & Xiao Xiao, 2019. "US Equity Tail Risk and Currency Risk Premia," International Finance Discussion Papers 1253, Board of Governors of the Federal Reserve System (U.S.).
  37. Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2015. "Carry and Trend Following Returns in the Foreign Exchange Market," Discussion Papers 15/07, Department of Economics, University of York.
  38. Chan, Kalok & Yang, Jian & Zhou, Yinggang, 2018. "Conditional co-skewness and safe-haven currencies: A regime switching approach," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 58-80.
  39. Baruník, Jozef & Kurka, Josef, 2024. "Risks of heterogeneously persistent higher moments," International Review of Financial Analysis, Elsevier, vol. 96(PA).
  40. Lukas Kremens & Ian Martin, 2019. "The Quanto Theory of Exchange Rates," American Economic Review, American Economic Association, vol. 109(3), pages 810-843, March.
  41. Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2022. "Multivariate crash risk," Journal of Financial Economics, Elsevier, vol. 145(1), pages 129-153.
  42. Gurdip Bakshi & Xiaohui Gao & Alberto G. Rossi, 2019. "Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns," Management Science, INFORMS, vol. 65(2), pages 619-641, February.
  43. Bai, Jennie & Bali, Turan G. & Wen, Quan, 2019. "Common risk factors in the cross-section of corporate bond returns," Journal of Financial Economics, Elsevier, vol. 131(3), pages 619-642.
  44. Otero, Luis A. & Reboredo, Juan C., 2018. "The performance of precious-metal mutual funds: Does uncertainty matter?," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 13-22.
  45. Atanasov, Victoria & Nitschka, Thomas, 2014. "Currency excess returns and global downside market risk," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 268-285.
  46. Aslanidis, Nektarios & Christiansen, Charlotte & Kouretas, George, 2020. "Uncertainty and Downside Risk in International Stock Returns," Working Papers 2072/376032, Universitat Rovira i Virgili, Department of Economics.
  47. Helena Chuliá & Sabuhi Khalili & Jorge M. Uribe, 2024. "Monitoring time-varying systemic risk in sovereign debt and currency markets with generative AI," IREA Working Papers 202402, University of Barcelona, Research Institute of Applied Economics, revised Feb 2024.
  48. Georges Dionne & Jingyuan Li & Cédric Okou, 2024. "An alternative representation of the C-CAPM with higher-order risks," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 49(2), pages 194-233, September.
  49. Nitschka, Thomas, 2018. "Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy," Journal of International Money and Finance, Elsevier, vol. 83(C), pages 44-54.
  50. Asano, Takao & Cai, Xiaojing & Sakemoto, Ryuta, 2025. "Global foreign exchange volatility, ambiguity, and currency carry trades," Journal of Banking & Finance, Elsevier, vol. 178(C).
  51. Weber, Michael, 2018. "Cash flow duration and the term structure of equity returns," Journal of Financial Economics, Elsevier, vol. 128(3), pages 486-503.
  52. Farago, Adam & Tédongap, Roméo, 2018. "Downside risks and the cross-section of asset returns," Journal of Financial Economics, Elsevier, vol. 129(1), pages 69-86.
  53. Stocker, Marshall L., 2016. "The price of freedom: Idiosyncratic currency devaluations," Research in International Business and Finance, Elsevier, vol. 38(C), pages 312-325.
  54. Bank for International Settlements, 2015. "Currency carry trades in Latin America," BIS Papers, Bank for International Settlements, number 81, November.
  55. Nakamura, Kazuki, 2023. "How does a change in downside risk affect optimal demand for a risky asset?: Comparative statics on Tail Conditional Expectation," Finance Research Letters, Elsevier, vol. 58(PD).
  56. Manuel Ammann & Alexander Feser, 2019. "Option-implied Value-at-Risk and the cross-section of stock returns," Review of Derivatives Research, Springer, vol. 22(3), pages 449-474, October.
  57. Vitaly Orlov, 2018. "Solvency Risk Premia and the Carry Trades," Working Papers on Finance 1802, University of St. Gallen, School of Finance.
  58. Roland Füss & Massimo Guidolin & Christian Koeppel, 2019. "Sentiment Risk Premia In The Cross-Section of Global Equity," Working Papers on Finance 1913, University of St. Gallen, School of Finance, revised May 2020.
  59. Andreas Neuhierl & Michael Weber & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," CESifo Working Paper Series 6199, CESifo.
  60. Lumengo Bonga-Bonga & Sefora Motena Rangoanana, 2022. "Carry Trade and Capital Market Returns in South Africa," JRFM, MDPI, vol. 15(11), pages 1-13, October.
  61. Maggiori, Matteo, 2021. "International Macroeconomics With Imperfect Financial Markets," SocArXiv z8g6r, Center for Open Science.
  62. Stefan Reitz & Dennis Umlandt, 2019. "Foreign Exchange Dealer Asset Pricing," Working Paper Series 2019-08, University of Trier, Research Group Quantitative Finance and Risk Analysis.
  63. Xavier Gabaix & Matteo Maggiori, 2015. "International Liquidity and Exchange Rate Dynamics," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 130(3), pages 1369-1420.
  64. Aleksejs Krecetovs & Pasquale Della Corte, 2016. "Macro uncertainty and currency premia," 2016 Meeting Papers 624, Society for Economic Dynamics.
  65. Choi, Jin Ho & Suh, Sangwon, 2022. "Conditionally-hedged currency carry trades," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  66. de Boer, Jantke & Eichler, Stefan, 2024. "FX dealer constraints and external imbalances," Ruhr Economic Papers 1132, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  67. Victoria Dobrynskaya, 2014. "Downside Market Risk of Carry Trades," Review of Finance, European Finance Association, vol. 18(5), pages 1885-1913.
  68. Hasler, Michael & Ornthanalai, Chayawat, 2018. "Fluctuating attention and financial contagion," Journal of Monetary Economics, Elsevier, vol. 99(C), pages 106-123.
  69. Chris Florackis & Christodoulos Louca & Roni Michaely & Michael Weber, 2023. "Cybersecurity Risk," The Review of Financial Studies, Society for Financial Studies, vol. 36(1), pages 351-407.
  70. Emmanuel Farhi & Xavier Gabaix, "undated". "Rare Disasters and Exchange Rates," Working Paper 71001, Harvard University OpenScholar.
  71. Hui, Cho-Hoi & Lo, Chi-Fai & Liu, Chi-Hei, 2022. "Exchange rate dynamics with crash risk and interventions," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 18-37.
  72. Neuhierl, Andreas & Weber, Michael, 2019. "Monetary policy communication, policy slope, and the stock market," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 140-155.
  73. Jamali, Ibrahim & Yamani, Ehab & Smallwood, Aaron D., 2023. "An investment-based explanation of currency excess returns," Journal of International Money and Finance, Elsevier, vol. 133(C).
  74. Joon Woo Bae & Redouane Elkamhi, 2021. "Global Equity Correlation in International Markets," Management Science, INFORMS, vol. 67(11), pages 7262-7289, November.
  75. Jens Hilscher & Mungo Wilson, 2017. "Credit Ratings and Credit Risk: Is One Measure Enough?," Management Science, INFORMS, vol. 63(10), pages 3414-3437, October.
  76. Jiang, Xue & Han, Liyan & Yin, Libo, 2019. "Can skewness predict currency excess returns?," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 628-641.
  77. Hsu, Po-Hsuan & Taylor, Mark P. & Wang, Zigan & Xu, Qi, 2022. "Currency volatility and global technological innovation," Journal of International Economics, Elsevier, vol. 137(C).
  78. Dobrynskaya, Victoria, 2024. "Is downside risk priced in cryptocurrency market?," International Review of Financial Analysis, Elsevier, vol. 91(C).
  79. Gonçalves, Andrei S., 2021. "The short duration premium," Journal of Financial Economics, Elsevier, vol. 141(3), pages 919-945.
  80. Berg, Kimberly A. & Mark, Nelson C., 2018. "Measures of global uncertainty and carry-trade excess returns," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 212-227.
  81. Geyikçi, Utku Bora & Özyıldırım, Süheyla, 2021. "To hedge or not to hedge: Carry trade dynamics in the emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
  82. Taylor, Mark P. & Wang, Zigan & Xu, Qi, 2021. "The real effects of exchange rate risk on corporate investment: International evidence," Journal of International Money and Finance, Elsevier, vol. 117(C).
  83. Kanchanapoom Termkiat & Padungsaksawasdi Chaiyuth & Chunhachinda Pornchai & de Boyrie Maria E., 2018. "Uncovered Interest Rate Parity, Carry Trade, and Country Equity Return Differentials," Global Economy Journal, De Gruyter, vol. 18(3), pages 1-11, September.
  84. Juan M. Morelli & Pablo Ottonello & Diego J. Perez, 2022. "Global Banks and Systemic Debt Crises," Econometrica, Econometric Society, vol. 90(2), pages 749-798, March.
  85. Fan, Zhenzhen & Londono, Juan M. & Xiao, Xiao, 2022. "Equity tail risk and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 143(1), pages 484-503.
  86. Chen, Shu-Hsiu, 2017. "Carry trade strategies based on option-implied information: Evidence from a cross-section of funding currencies," Journal of International Money and Finance, Elsevier, vol. 78(C), pages 1-20.
  87. Thomas A Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2023. "Market Timing and Predictability in FX Markets," Review of Finance, European Finance Association, vol. 27(1), pages 223-246.
  88. Kabelo Collen Makhanya & Lumengo Bonga-Bonga & Mathias Mandla Manguzvane, 2024. "Examining the Dependence Structure Between Carry Trade and Equity Market Returns in BRICS Economies," International Economic Journal, Taylor & Francis Journals, vol. 38(2), pages 365-384, April.
  89. Yang, Jianlei, 2024. "Financial stability policy and downside risk in stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
  90. Iwanaga, Yasuhiro & Sakemoto, Ryuta, 2024. "Cross-momentum strategies in the equity futures and currency markets," Journal of International Money and Finance, Elsevier, vol. 148(C).
  91. Da Fonseca, José & Xu, Yahua, 2017. "Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition," Energy Economics, Elsevier, vol. 67(C), pages 410-422.
  92. de Boer, Jantke, 2024. "Global portfolio network and currency risk premia," Ruhr Economic Papers 1133, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  93. Gao, Yang & Leung, Henry & Satchell, Stephen, 2022. "Partial moment momentum," Journal of Banking & Finance, Elsevier, vol. 135(C).
  94. George P. Gao & Xiaomeng Lu & Zhaogang Song, 2019. "Tail Risk Concerns Everywhere," Management Science, INFORMS, vol. 65(7), pages 3111-3130, July.
  95. Andreas Neuhierl & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," NBER Working Papers 22831, National Bureau of Economic Research, Inc.
  96. Alexandra Janssen & Rahel Studer, 2014. "The Swiss franc's honeymoon," ECON - Working Papers 170, Department of Economics - University of Zurich, revised Jan 2017.
  97. M. Max Croce & Tatyana Marchuk & Christian Schlag, 2019. "The Leading Premium," NBER Working Papers 25633, National Bureau of Economic Research, Inc.
  98. Jurek, Jakub W., 2014. "Crash-neutral currency carry trades," Journal of Financial Economics, Elsevier, vol. 113(3), pages 325-347.
  99. Chen, Zilin & Gang, Jianhua & Qian, Zongxin, 2021. "Stock returns and carry trades," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  100. Berg, Kimberly A. & Mark, Nelson C., 2018. "Global macro risks in currency excess returns," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 300-315.
  101. Bollerslev, Tim & Li, Sophia Zhengzi & Todorov, Viktor, 2016. "Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 120(3), pages 464-490.
  102. Gordon Schulze, 2021. "Carry Trade Returns and Segmented Risk Pricing," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 49(1), pages 23-40, March.
  103. Matteo Maggiori & Xavier Gabaix, 2015. "Dynamics of Exchange Rates and Capital Flows," 2015 Meeting Papers 1104, Society for Economic Dynamics.
  104. Hassan, Ramin & Loualiche, Erik & Pecora, Alexandre R. & Ward, Colin, 2023. "International trade and the risk in bilateral exchange rates," Journal of Financial Economics, Elsevier, vol. 150(2).
  105. Dahlquist, Magnus & Hasseltoft, Henrik, 2020. "Economic momentum and currency returns," Journal of Financial Economics, Elsevier, vol. 136(1), pages 152-167.
  106. Thomas A. Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2019. "Pricing Risks Across Currency Denominations," Management Science, INFORMS, vol. 65(11), pages 5308-5336, November.
  107. Robert Ready & Nikolai Roussanov & Colin Ward, 2017. "Commodity Trade and the Carry Trade: A Tale of Two Countries," Journal of Finance, American Finance Association, vol. 72(6), pages 2629-2684, December.
  108. Calice, Giovanni & Lin, Ming-Tsung, 2024. "Sovereign momentum currency returns," International Review of Financial Analysis, Elsevier, vol. 96(PB).
  109. Mohammadreza Tavakoli Baghdadabad & Girijasankar Mallik, 2021. "Market news co-moments and currency returns," Empirical Economics, Springer, vol. 61(4), pages 1819-1863, October.
  110. Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2017. "Currency Value," The Review of Financial Studies, Society for Financial Studies, vol. 30(2), pages 416-441.
  111. Hui, Cho-Hoi & Lo, Chi-Fai & Chau, Po-Hon & Wong, Andrew, 2020. "Does Bitcoin behave as a currency?: A standard monetary model approach," International Review of Financial Analysis, Elsevier, vol. 70(C).
  112. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2019. "Carry trades and commodity risk factors," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 121-129.
  113. Jerry Tsai & Jessica A. Wachter, 2014. "Rare Booms and Disasters in a Multi-sector Endowment Economy," NBER Working Papers 20062, National Bureau of Economic Research, Inc.
  114. Hanno Lustig & Robert J. Richmond, 2017. "Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates," NBER Working Papers 23773, National Bureau of Economic Research, Inc.
  115. Xiaoquan Jiang & Iván M. Rodríguez & Qianying Zhang, 2023. "Macroeconomic fundamentals and cryptocurrency prices: A common trend approach," Financial Management, Financial Management Association International, vol. 52(1), pages 181-198, March.
  116. Opie, Wei & Riddiough, Steven J., 2020. "Global currency hedging with common risk factors," Journal of Financial Economics, Elsevier, vol. 136(3), pages 780-805.
  117. Federico Nucera & Lucio Sarno & Gabriele Zinna, 2024. "Currency Risk Premiums Redux," The Review of Financial Studies, Society for Financial Studies, vol. 37(2), pages 356-408.
  118. Chang‐Che Wu & MeiChi Huang & Chih‐Chiang Wu, 2021. "The role of asymmetry and dynamics in carry trade and general financial markets," The Financial Review, Eastern Finance Association, vol. 56(2), pages 331-353, May.
  119. Michael Hasler & Charles Martineau, 2023. "Explaining the Failure of the Unconditional CAPM with the Conditional CAPM," Management Science, INFORMS, vol. 69(3), pages 1835-1855, March.
  120. de Oliveira Souza, Thiago, 2020. "Observable implications of the conditional CAPM," Discussion Papers on Economics 13/2020, University of Southern Denmark, Department of Economics.
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  122. Palwishah, Rana & Kashif, Muhammad & Rehman, Mobeen Ur & Al-Faryan, Mamdouh Abdulaziz Saleh, 2024. "Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 91(C).
  123. Grobys, Klaus & Heinonen, Jari-Pekka & Kolari, James, 2018. "Return dispersion risk in FX and global equity markets: Does it explain currency momentum?," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 264-280.
  124. Husted, Lucas & Rogers, John & Sun, Bo, 2018. "Uncertainty, currency excess returns, and risk reversals," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 228-241.
  125. Mete Kilic & Ivan Shaliastovich, 2019. "Good and Bad Variance Premia and Expected Returns," Management Science, INFORMS, vol. 67(6), pages 2522-2544, June.
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  128. Langlois, Hugues, 2020. "Measuring skewness premia," Journal of Financial Economics, Elsevier, vol. 135(2), pages 399-424.
  129. Kusliaikin, Aleksandr, 2025. "Downside Market Risk: A Key Determinant of Cryptocurrency Returns [Риск Синхронного Падения Как Ключевой Фактор Доходности Криптовалют]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, issue 1, pages 30-55.
  130. Liu, Jinjing, 2023. "A novel downside beta and expected stock returns," International Review of Financial Analysis, Elsevier, vol. 85(C).
  131. Jun Yuan & Qi Xu & Ying Wang, 2023. "Probability weighting in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(4), pages 516-548, April.
  132. Luo, Jiawen & Chen, Zhenbiao & Cheng, Mingmian, 2025. "Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects," Journal of Empirical Finance, Elsevier, vol. 80(C).
  133. Nucera, Federico, 2017. "Unemployment fluctuations and the predictability of currency returns," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 88-106.
  134. Malamud, Semyon & Vilkov, Grigory, 2018. "Non-myopic betas," Journal of Financial Economics, Elsevier, vol. 129(2), pages 357-381.
  135. Liu, Xi & Zhang, Xueyong, 2024. "Geopolitical risk and currency returns," Journal of Banking & Finance, Elsevier, vol. 161(C).
  136. Samuel Tabot Enow, 2025. "The intertemporal relationship between downside risks and expected stock returns: Evidence from time-varying transition probability models," International Journal of Business Ecosystem & Strategy (2687-2293), Bussecon International Academy, vol. 7(2), pages 319-323, April.
  137. Asgar Ali & K. N. Badhani, 2023. "Downside risk matters once the lottery effect is controlled: explaining risk–return relationship in the Indian equity market," Journal of Asset Management, Palgrave Macmillan, vol. 24(1), pages 27-43, February.
  138. Evans, Martin, 2020. "Exchange Rates and Liquidity Risk," MPRA Paper 102702, University Library of Munich, Germany.
  139. Victoria Dobrynskaya, 2015. "Currency Exposure to Downside Risk: Which Fundamentals Matter?," Review of International Economics, Wiley Blackwell, vol. 23(2), pages 345-360, May.
  140. Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tedongap & Lai Xi, 2017. "Variance Premium, Downside Risk and Expected Stock Returns," Staff Working Papers 17-58, Bank of Canada.
  141. Lorenzo Garlappi & Jack Favilukis, 2015. "The Carry Trade and UIP when Markets are Incomplete," 2015 Meeting Papers 242, Society for Economic Dynamics.
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