Browsing MIT Dept. of Economics Working Papers Series by Subject "vix futures and rolldown"

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    • Carry Trade and Systemic Risk: Why are FX Options so Cheap? 

      Caballero, Ricardo; Doyle, Joseph B. (Cambridge, MA: Department of Economics, Massachusetts Institute of Technology, 2012-12-05)
      In this paper we document first that, in contrast with their widely perceived excess returns, popular carry trade strategies yield low systemic-risk-adjusted returns. In particular, we show that carry trade returns are ...