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Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets. (2012). Schlogl, Erik ; Chang, Yang.
In: Research Paper Series.
RePEc:uts:rpaper:310.

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Cited: 7

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Cites: 28

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Cocites: 50

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Citations

Citations received by this document

  1. Semivariance and semiskew risk premiums in currency markets. (2021). Dawui, Edem ; da Fonseca, Jose.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:41:y:2021:i:3:p:290-324.

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  2. A consistent stochastic model of the term structure of interest rates for multiple tenors. (2020). Schlogl, Erik ; Grasselli, Martino ; Alfeus, Mesias.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188920300312.

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  3. Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias.
    In: PhD Thesis.
    RePEc:uts:finphd:41.

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  4. Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias.
    In: PhD Thesis.
    RePEc:uts:finphd:1-2019.

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  5. A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors. (2017). Schlogl, Erik ; Grasselli, Martino ; Alfeus, Mesias.
    In: Research Paper Series.
    RePEc:uts:rpaper:384.

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  6. Analysing Cross-Currency Basis Spreads. (2017). Witzany, Jiří ; Baran, Jaroslav .
    In: Working Papers.
    RePEc:stm:wpaper:25.

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  7. Konstrukce výnosových křivek v pokrizovém období. (2014). Witzany, Jiří ; Baran, Jaroslav .
    In: Politická ekonomie.
    RePEc:prg:jnlpol:v:2014:y:2014:i:1:id:938:p:67-99.

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References

References cited by this document

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  5. Brunnermeier, M.K., Nagel, S., Pedersen, L.H. (2008). Carry trades and currency crashes. NBER Macroeconomics Annual 23, pp. 313-347.

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    Paper not yet in RePEc: Add citation now

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Cocites

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  1. The Rand as a Carry Trade Target: Risk, Returns and Policy Implications. (2011). Hassan, Shakill ; Smith, Sean .
    In: Working Papers.
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  2. Regulatory reform : integrating paradigms. (2009). Ize, Alain ; de la Torre, Augusto.
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  3. Knowledge, Preferences and Shocks in Portfolio Analysis. (2009). Steinbacher, Matjaz.
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  5. A Computational View of Market Efficiency. (2009). Lo, Andrew ; Hasanhodzic, Jasmina ; Viola, Emanuele .
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  9. Market Bubbles and Chrashes. (2008). Kaizoji, Taisei ; Sornette, Didier.
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  10. Deciphering the Liquidity and Credit Crunch 2007-08. (2008). Brunnermeier, Markus.
    In: NBER Working Papers.
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  11. Inexperienced Investors and Bubbles. (2008). Nagel, Stefan ; Greenwood, Robin.
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  12. A leverage-based model of speculative bubbles. (2008). Barlevy, Gadi.
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  13. Speculative growth and overreaction to technology shocks. (2008). Lansing, Kevin.
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  14. Venture Capital and Innovation: Which is First?. (2008). Ueda, Masako ; Hirukawa, Masayuki.
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  15. Strong Bubbles and Common Expected Bubbles in a Finite Horizon Model. (2008). Zheng, Jie.
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  16. Should Central Banks Burst Bubbles? Some Microeconomic Issues. (2008). Conlon, John.
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  17. Speculative Attacks: A Laboratory Study in Continuous Time. (2008). Friedman, Daniel ; Cheung, Yin-Wong.
    In: CESifo Working Paper Series.
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  18. Feedback Trading and Intermittent Market Turbulence. (2008). TAMBAKIS, DEMOSTHENES.
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  19. Discrete devaluations and multiple equilibria in a first generation model of currency crises. (2007). Broner, Fernando.
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  22. Imperfect Common Knowledge in First-Generation Models of Currency Crises. (2007). Afonso, Gara.
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  28. Discrete Devaluations and Multiple Equilibria in a First Generation Model of Currency Crises. (2006). Broner, Fernando.
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