Upside and downside risk exposures of currency carry trades via tail dependence

Springer Proceedings in Mathematics and Statistics

Volumn 99, Issue , 2015, Pages 163-181

  Ames, Matthew ^a   Peters, Gareth W ^a,b,c   Bagnarosa, Guillaume ^a   Kosmidis, Ioannis ^a  

^a UNIVERSITY COLLEGE LONDON   (United Kingdom)

^b CSIRO   (Australia)

^c UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

Currency carry trade; Forward premium puzzle; Generalised archimedean copula; Mixture models; Multivariate tail dependence

Indexed keywords

COMMERCE; FINANCIAL MARKETS; PROFITABILITY; RISK MANAGEMENT;

ARCHIMEDEAN COPULA; DOMESTIC CURRENCY; FOREIGN COUNTRIES; FORWARD PREMIUM PUZZLE; INVESTMENT STRATEGY; MIXTURE MODEL; TAIL DEPENDENCE; TRADING STRATEGIES;

ECONOMICS;

EID: 84920934190     PISSN: 21941009     EISSN: 21941017     Source Type: Conference Proceeding    
DOI: 10.1007/978-3-319-09114-3_10     Document Type: Conference Paper

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