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From carry trades to curvy trades
Ferdinand Dreher, Johannes Gräb, Thomas Kostka
Research output
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Working paper
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Academic
235
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Keyphrases
Carry Trade
100%
Curvature Factor
50%
G10 Currencies
25%
Relative Curvature
25%
Linear Assets
25%
Japanese Yen
25%
Pricing Factors
25%
Return Skewness
25%
Nelson-Siegel Factors
25%
Carry Trade Returns
25%
Swiss Franc
25%
Return Distribution
25%
Economics, Econometrics and Finance
Swiss Franc
50%