Understanding the price of volatility risk in carry trades
This paper investigates the cross-sectional pricing ability of the short- and long-run components of global foreign exchange (FX) volatility for carry trade returns. We find a negative and statistically significant factor risk price for the long-run component, but no significant pricing effect due t...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Published: |
Elsevier
2015
|
| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/36952/ |