外汇市场
货币
文件夹
随机贴现因子
经济
外汇风险
金融经济学
连接词(语言学)
资本资产定价模型
计量经济学
货币经济学
作者
Danyang Li,Zhekai Zhang,Mario Cerrato
标识
DOI:10.1016/j.irfa.2023.102626
摘要
Currency-specific pricing factors are pervasive in international asset pricing. However, portfolio and risk management based on forex factors, instead of individual currencies, are rarely discussed. This paper tries to fill this gap by modelling dynamic correlations and non-normality among forex factors. By considering the four most popular forex factors: the dollar risk factor, the carry trade factor, the currency momentum factor, and the currency value factor, we find that a dynamic conditional correlation copula (DCC-copula) model with skewed-t kernel fits the joint distribution well. We show that, for risk-averse investors who focus on factor investing or employ the forex factors to resize the specific risk exposure, ignoring the tail dependence structure of forex factors brings significant costs.
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