Intertemporal Risk-Return Trade-off in Foreign Exchange Rates
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- Charlotte, Christiansen, 2011. "Intertemporal risk-return trade-off in foreign exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 535-549, October.
References listed on IDEAS
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- Zhang, Hao, 2018. "Intraday patterns in foreign exchange returns and realized volatility," Finance Research Letters, Elsevier, vol. 27(C), pages 99-104.
- Stefan Trück & Rafał Weron, 2016.
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- Stefan Trück & Rafal Weron, 2015. "Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period," HSC Research Reports HSC/15/03, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Kumar, Satish & Trück, Stefan, 2014. "Unbiasedness and risk premiums in the Indian currency futures market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 13-32.
- Doukas, John A. & Zhang, Hao, 2013. "The performance of NDF carry trades," Journal of International Money and Finance, Elsevier, vol. 36(C), pages 172-190.
- Xin Yang & Shigang Wen & Zhifeng Liu & Cai Li & Chuangxia Huang, 2019. "Dynamic Properties of Foreign Exchange Complex Network," Mathematics, MDPI, vol. 7(9), pages 1-19, September.
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More about this item
Keywords
Foreign exchange rates; Risk-return trade-off; Realized volatility; Realized skewness; Value-at-risk; Financial crisis;All these keywords.
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-IFN-2010-05-22 (International Finance)
- NEP-RMG-2010-05-22 (Risk Management)
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