References

Ang A, Hodrick RJ, Xing Y, Zhang X. The cross-section of volatility and expected returns. J Finance 2006; 61: 259–299.

Bekaert G, Hodrick RJ. Characterizing predictable components in excess returns on equity and foreign exchange markets. J Finance 1992; 47:467–509.

Brunnermeier MK, Nagel S, Pedersen LH. Carry trades and currency crashes. NBER Macroeconomics Annual 2008, 2009; 23:313–347.

Burnside C. Identification and inference in linear stochastic discount factor models. NBER Working paper 16634; 2010a.

Burnside C. Sorts and cross-sectional regressions, mimeo. Duke University; 2010b.

Burnside C. The cross-section of foreign currency risk premia and consumption growth risk: Comment. American Economic Review 2011; 101:3456–76.

Burnside C, Eichenbaum M, Kleshchelski I, Rebelo S. The returns to currency speculation. NBER Working paper 12489; 2006.

Burnside C, Eichenbaum M, Kleshchelski I, Rebelo S. Do peso problems explain the returns to the carry trade? Rev Financ Stud 2011a; 24:853–891.

Burnside C, Eichenbaum M, Rebelo S. Carry trade and momentum in currency markets. Annu Rev Financ Econ 2011b; 3:511–35.

Campbell JY. Consumption-based asset pricing. In: Constantinides GM, Harris M, Stulz R, editors. Volume 1B, Handbook of the economics of finance. Amsterdam: Elsevier; 2003.

Da Z, Schaumburg E. The pricing of volatility risk across asset classes and the Fama-French factors, mimeo, University of Notre Dame; 2009.

Engel C. The forward discount anomaly and the risk premium: ...

Get Handbook of Exchange Rates now with the O’Reilly learning platform.

O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.