Systemic risk in carry-trade portfolios
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DOI: 10.1016/j.frl.2016.09.007
Abstract: Risk contagion between carry trade portfolios and stock markets had been explored in literatures, leaving inconsistent controversy. Instead of exploring ordinary return-volatility spillovers, this paper focuses on a systemic contagion, the tail risk conditional on… read more here.
Keywords: trade portfolios; carry trade; risk; systemic contagion ... See more keywords
Examining the Dependence Structure Between Carry Trade and Equity Market Returns in BRICS Economies
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DOI: 10.1080/10168737.2024.2320121
Abstract: This paper contributes to the literature on carry trade by investigating the dynamic correlation and the dependence structure between the US-dollar carry trade and equity markets in the (Brazil, Russia, India, China and South Africa… read more here.
Keywords: trade equity; trade; dependence structure; carry trade ... See more keywords