Can implied volatility predict returns on the currency carry trade?

2015-10-01

Additional Metadata
Keywords	Currency carry trade, Exchange rates, Implied volatility, Market timing, VIX, VXY
Persistent URL	doi.org/10.1016/j.jbankfin.2015.04.026, hdl.handle.net/1765/85924
Series	ERIM Top-Core Articles
Journal	Journal of Banking & Finance
Organisation	Erasmus School of Economics
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Egbers, T., & Swinkels, L. (2015). Can implied volatility predict returns on the currency carry trade?. Journal of Banking & Finance, 59, 14–26. doi:10.1016/j.jbankfin.2015.04.026

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