This paper studies risk premia in a large cross-section of cryptocurrency. We characterize
the stochastic discount factor in terms of latent factors and obtain risk premia estimates for a …

We find a strong link between currency excess returns and the relative strength of the
business cycle. Buying currencies of strong economies and selling currencies of weak …

The global nature of the Czech economy means that quantitative knowledge of the influence
of the exchange rate provides useful information for all participants in the international …

A Review of Norges Bank’s Active Management of the Government Pension Fund Global Page 1
A Review of Norges Bank’s Active Management of the Government Pension Fund Global …

The relationship between exchange rates is important for portfolio optimisation and risk
management. Understanding the economic fundamentals that affect exchange rate …

This paper evaluates the reliability of alternative equilibrium exchange rate assessments.
The literature has predominantly relied on the behavioral equilibrium exchange rate (BEER) …

This paper provides a new statistical methodology based on Singular Spectrum Analysis to
extract the cycle component of an economic time series in real-time, addressing several …

Using measures of physical risk from climate change, we develop a methodology to allocate
currency pairs according to a country's vulnerability and construct portfolios with decreasing …

We construct a sovereign default network by employing high-dimensional vector
autoregressions obtained by analyzing connectedness in sovereign credit default swap …

This study explores optimal currency exposures in international equity portfolios through the
lens of a modified mean–variance optimization framework. We decomposed the optimal …