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Crash-neutral currency carry trades

✍ Scribed by Jurek, Jakub W.


Book ID
122320030
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
905 KB
Volume
113
Category
Article
ISSN
0304-405X

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The article examines the relationship between daily returns of currency carry trades and U.S. stocks from January 1995 through September 2010. Carry trade and stock returns are highly correlated with no Granger‐causality in either direction. An EGARCH model shows that significant volatility spillove