Essays on empirical asset pricing in the foreign exchange market
This thesis focuses on the dynamics of currency premia. Specifically, we study the time-series and cross-sectional variation of currency carry trade and momentum strategies. In the first chapter, we study the role of domestic and global factors on payoffs of portfolios built to mimic carry, dollar c...
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University of Warwick
2014
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.682832 |