The Time-Varying Systematic Risk of Carry Trade Strategies
نویسندگان
چکیده
منابع مشابه
Time-Varying Modeling of Systematic Risk: using High-Frequency Characterization of Tehran Stock Exchange
We decompose time-varying beta for stock into beta for continuous systematic risk and beta for discontinuous systematic risk. Brownian motion is assumed as nature of price movements in our modeling. Our empirical research is based on high-frequency data for stocks from Tehran Stock Exchange. Our market portfolio experiences 136 days out of 243 trading days with jumps which is a considerable rat...
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ژورنال
عنوان ژورنال: Journal of Financial and Quantitative Analysis
سال: 2011
ISSN: 0022-1090,1756-6916
DOI: 10.1017/s0022109011000263