Browsing Student papers by Author "Ionita, Nicoleta"
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The Cost to Carry: Investor Uncertainty and the Currency Risk Premia
Bosnic, Asja; Ionita, Nicoleta (Master thesis, 2020)This thesis explores a risk-based explanation of carry trade returns in currency markets. We propose a two-factor model that uses investor uncertainty proxied by News Implied Volatility innovations (NVIX) and the dollar ...