Understanding the interplay between covariance forecasting factor models and risk-based portfolio allocations in currency carry trades (2018)

First Author: Ames M

Attributed to: Systemic Risk Centre funded by ESRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1002/for.2505

Publication URI: http://dx.doi.org/10.1002/for.2505

Type: Journal Article/Review

Parent Publication: Journal of Forecasting

Issue: 8