Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram

Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram

This paper examines the predictive power of time-varying risk aversion over payoffs to the carry trade strategy via the cross-quantilogram methodology. Our analysis yields significant evidence of directional predictability from risk aversion to daily carry trade returns tracked by the Deutsche Bank...

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Bibliographic Details
Main Authors: Riza Demirer, Rangan Gupta, Hossein Hassani, Xu Huang
Format: Article
Language:English
Published: MDPI AG 2020-03-01
Series:Economies
Subjects:
quantile
correlogram
dependence
predictability
Online Access:https://www.mdpi.com/2227-7099/8/1/18

Internet

https://www.mdpi.com/2227-7099/8/1/18

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