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A Conditional Factor Model for Currency Option Returns

https://doi.org/10.2139/ssrn.4991516
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Outgoing claims: the papers this work cites, builds on, or argues with.

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What matters for financial development? Capital controls, institutions, and interactions
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Autoencoder Asset Pricing Models
inferredcites →https://doi.org/10.1016/j.jempfin.2008.03.002openalex-snapshot
Robust performance hypothesis testing with the Sharpe ratio
inferredcites →https://doi.org/10.1016/j.jfineco.2009.01.001openalex-snapshot
Cross-section of option returns and volatility☆
inferredcites →https://doi.org/10.1016/j.jfineco.2009.09.001openalex-snapshot
A skeptical appraisal of asset pricing tests☆
inferredcites →https://doi.org/10.1016/j.jfineco.2010.08.014openalex-snapshot
Maxing out: Stocks as lotteries and the cross-section of expected returns
inferredcites →https://doi.org/10.1016/j.jfineco.2011.12.001openalex-snapshot
The short of it: Investor sentiment and anomalies
inferredcites →https://doi.org/10.1016/j.jfineco.2012.06.009openalex-snapshot
Currency momentum strategies
inferredcites →https://doi.org/10.1016/j.jfineco.2012.11.010openalex-snapshot
Cross section of option returns and idiosyncratic stock volatility
inferredcites →https://doi.org/10.1016/j.jfineco.2014.05.004openalex-snapshot
Crash-neutral currency carry trades
inferredcites →https://doi.org/10.1016/j.jfineco.2014.07.001openalex-snapshot
Conditional risk premia in currency markets and other asset classes
inferredcites →https://doi.org/10.1016/j.jfineco.2015.12.002openalex-snapshot
Momentum crashes
inferredcites →https://doi.org/10.1016/j.jfineco.2016.01.029openalex-snapshot
A trend factor: Any economic gains from using information over investment horizons?
inferredcites →https://doi.org/10.1016/j.jfineco.2016.02.015openalex-snapshot
Volatility risk premia and exchange rate predictability
inferredcites →https://doi.org/10.1016/j.jfineco.2016.09.012openalex-snapshot
International correlation risk
inferredcites →https://doi.org/10.1016/j.jfineco.2019.05.001openalex-snapshot
Characteristics are covariances: A unified model of risk and return
inferredcites →https://doi.org/10.1016/j.jfineco.2020.04.005openalex-snapshot
Business cycles and currency returns
inferredcites →https://doi.org/10.1016/j.jfineco.2020.06.024openalex-snapshot
Understanding Momentum and Reversal
inferredcites →https://doi.org/10.1016/j.jfineco.2021.04.030openalex-snapshot
Volatility and the cross-section of returns on FX options
inferredcites →https://doi.org/10.1016/j.jfineco.2021.05.035openalex-snapshot
Dissecting currency momentum
inferredcites →https://doi.org/10.1016/j.jfineco.2021.12.007openalex-snapshot
A factor model for option returns
inferredcites →https://doi.org/10.1016/j.jfineco.2023.103716openalex-snapshot
Cross-stock momentum and factor momentum
inferredcites →https://doi.org/10.1016/j.jmoneco.2018.06.003openalex-snapshot
Anomalies and market (dis)integration
inferredcites →https://doi.org/10.1016/s0261-5606(83)80001-1openalex-snapshot
Foreign currency option values
inferredcites →https://doi.org/10.1017/s0022109000001988openalex-snapshot
The Volatility Risk Premium Embedded in Currency Options
inferredcites →https://doi.org/10.1017/s0022109013000410openalex-snapshot
Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
inferredcites →https://doi.org/10.1017/s002210901700076xopenalex-snapshot
Equity Volatility Term Structures and the Cross Section of Option Returns
inferredcites →https://doi.org/10.1017/s0022109017000801openalex-snapshot
Crash Risk in Currency Returns
inferredcites →https://doi.org/10.1017/s0022109018000480openalex-snapshot
Unknown Unknowns: Uncertainty About Risk and Stock Returns
inferredcites →https://doi.org/10.1017/s0022109018000686openalex-snapshot
Global Political Risk and Currency Momentum
inferredcites →https://doi.org/10.1017/s0022109023001400openalex-snapshot
Mispricing and Risk Premia in Currency Markets
inferredcites →https://doi.org/10.1086/714090openalex-snapshot
Asset Pricing with Omitted Factors
inferredcites →https://doi.org/10.1093/rfs/hhaa020openalex-snapshot
Factors That Fit the Time Series and Cross-Section of Stock Returns
inferredcites →https://doi.org/10.1093/rfs/hhab067openalex-snapshot
Option Return Predictability
inferredcites →https://doi.org/10.1093/rfs/hhad017openalex-snapshot
Option Return Predictability with Machine Learning and Big Data
inferredcites →https://doi.org/10.1093/rfs/hhad049openalex-snapshot
Currency Risk Premiums Redux
inferredcites →https://doi.org/10.1093/rfs/hhg002openalex-snapshot
Delta-Hedged Gains and the Negative Market Volatility Risk Premium
inferredcites →https://doi.org/10.1093/rfs/hhq138openalex-snapshot
Do Peso Problems Explain the Returns to the Carry Trade?
inferredcites →https://doi.org/10.1093/rfs/hhr068openalex-snapshot
Common Risk Factors in Currency Markets
inferredcites →https://doi.org/10.1093/rfs/hhw038openalex-snapshot
Currency Premia and Global Imbalances
inferredcites →https://doi.org/10.1093/rfs/hhw067openalex-snapshot
Currency Value
inferredcites →https://doi.org/10.1093/rfs/hhx089openalex-snapshot
The Factor Structure in Equity Options
inferredcites →https://doi.org/10.1093/rfs/hhx113openalex-snapshot
Illiquidity Premia in the Equity Options Market
inferredcites →https://doi.org/10.1093/rof/rfae002openalex-snapshot
Common risk factors in cross-sectional FX options returns
inferredcites →https://doi.org/10.1093/rof/rfu004openalex-snapshot
Downside Market Risk of Carry Trades
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04702.xopenalex-snapshot
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-snapshot
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00656.xopenalex-snapshot
Are Momentum Profits Robust to Trading Costs?
inferredcites →https://doi.org/10.1111/j.1540-6261.2012.01728.xopenalex-snapshot
Carry Trades and Global Foreign Exchange Volatility
inferredcites →https://doi.org/10.1111/jofi.12021openalex-snapshot
Value and Momentum Everywhere
inferredcites →https://doi.org/10.1111/jofi.12053openalex-snapshot
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
inferredcites →https://doi.org/10.1111/jofi.12152openalex-snapshot
Stock Options as Lotteries
inferredcites →https://doi.org/10.1111/jofi.12380openalex-snapshot
Order Flow and Expected Option Returns
inferredcites →https://doi.org/10.1111/jofi.12499openalex-snapshot
Exchange Rates and Monetary Policy Uncertainty
inferredcites →https://doi.org/10.1111/jofi.12607openalex-snapshot
Comparing Asset Pricing Models
inferredcites →https://doi.org/10.1111/jofi.13131openalex-snapshot
Factor Momentum and the Momentum Factor
inferredcites →https://doi.org/10.1111/jofi.13233openalex-snapshot
Modeling Corporate Bond Returns
inferredcites →https://doi.org/10.1111/jofi.13279openalex-snapshot
Option Momentum
inferredcites →https://doi.org/10.1257/aer.97.1.89openalex-snapshot
The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk
inferredcites →https://doi.org/10.1257/aer.97.2.333openalex-snapshot
The Returns to Currency Speculation in Emerging Markets
inferredcites →https://doi.org/10.1287/mnsc.2021.4115openalex-snapshot
Exchange Rates and Sovereign Risk
inferredcites →https://doi.org/10.2139/ssrn.1262416openalex-snapshot
Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns
inferredcites →https://doi.org/10.2139/ssrn.1343987openalex-snapshot
Crash Risk in Currency Markets
inferredcites →https://doi.org/10.2139/ssrn.1447869openalex-snapshot
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
inferredcites →https://doi.org/10.2139/ssrn.1542342openalex-snapshot
Yield Curve Predictors of Foreign Exchange Returns
inferredcites →https://doi.org/10.2139/ssrn.1572827openalex-snapshot
Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
inferredcites →https://doi.org/10.2139/ssrn.1784868openalex-snapshot
Illiquidity Premia in the Equity Options Market
inferredcites →https://doi.org/10.2139/ssrn.2022920openalex-snapshot
Currency Returns, Skewness and Crash Risk
inferredcites →https://doi.org/10.2139/ssrn.2228967openalex-snapshot
Conditional Risk Premia in Currency Markets and Other Asset Classes
inferredcites →https://doi.org/10.2139/ssrn.2705818openalex-snapshot
Exchange Rates and Monetary Policy Uncertainty
inferredcites →https://doi.org/10.2139/ssrn.3211106openalex-snapshot
Factors That Fit the Time Series and Cross-Section of Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.4308916openalex-snapshot
A Factor Model for Stock Options
inferredcites →https://doi.org/10.2139/ssrn.4400205openalex-snapshot
Macro-Based Factors for the Cross-Section of Currency Returns
inferredcites →https://doi.org/10.2139/ssrn.4404190openalex-snapshot
A New Option Momentum: The Role of the Systematic Component
inferredcites →https://doi.org/10.2139/ssrn.4580189openalex-snapshot
Skewness Risk Premia and the Cross-Section of Currency Returns
inferredcites →https://doi.org/10.2139/ssrn.4589282openalex-snapshot
A Joint Factor Model for Bonds, Stocks, and Options
inferredcites →https://doi.org/10.2139/ssrn.4595248openalex-snapshot
Interpretable Factors of Firm Characteristics
inferredcites →https://doi.org/10.2139/ssrn.647628openalex-snapshot
The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk
inferredcites →https://doi.org/10.2139/ssrn.677506openalex-snapshot
What Matters for Financial Development? Capital Controls, Institutions, and Interactions
inferredcites →https://doi.org/10.2307/1913625openalex-snapshot
A Test of the Efficiency of a Given Portfolio
inferredcites →https://doi.org/10.2469/faj.v60.n5.2657openalex-snapshot
Hedge Fund Benchmarks: A Risk-Based Approach
inferredcites →https://doi.org/10.2469/faj.v68.n1.1openalex-snapshot
Leverage Aversion and Risk Parity
inferredcites →https://doi.org/10.3386/w12916openalex-snapshot
The Returns to Currency Speculation in Emerging Markets
inferredcites →https://doi.org/10.3905/jpm.2019.45.3.013openalex-snapshot
Factor Momentum Everywhere
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