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Understanding the interplay between covariance forecasting factor models and risk-based portfolio allocations in currency carry trades
Ames, Matthew, Bagnarosa, Guillaume, Peters, Gareth W., Shevchenko, Pavel V.Language:
english
Journal:
Journal of Forecasting
DOI:
10.1002/for.2505
Date:
February, 2018
File:
PDF, 2.79 MB
english, 2018