/
sources.bib
260 lines (232 loc) · 8.95 KB
/
sources.bib
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
%% This BibTeX bibliography file was created using BibDesk.
%% https://bibdesk.sourceforge.io/
%% Created for Abdul Tawab Ajmal Safi at 2019-12-11 16:30:22 -0500
%% Saved with string encoding Unicode (UTF-8)
@article{loughran2011liability,
Author = {Loughran, Tim and McDonald, Bill},
Date-Added = {2019-12-04 23:59:06 -0500},
Date-Modified = {2019-12-04 23:59:06 -0500},
Journal = {The Journal of Finance},
Number = {1},
Pages = {35--65},
Publisher = {Wiley Online Library},
Title = {When is a liability not a liability? Textual analysis, dictionaries, and 10-Ks},
Volume = {66},
Year = {2011}}
@article{sharpe2017s,
Author = {Sharpe, Steven A and Sinha, Nitish Ranjan and Hollrah, Christopher},
Date-Added = {2019-12-04 23:16:21 -0500},
Date-Modified = {2019-12-04 23:16:21 -0500},
Publisher = {FEDS Working Paper},
Title = {What's the story? A new perspective on the value of economic forecasts},
Year = {2017}}
@article{calomiris2019news,
Author = {Calomiris, Charles W and Mamaysky, Harry},
Date-Added = {2019-12-02 14:39:43 -0500},
Date-Modified = {2019-12-02 14:39:43 -0500},
Journal = {Journal of Financial Economics},
Number = {2},
Pages = {299--336},
Publisher = {Elsevier},
Title = {How news and its context drive risk and returns around the world},
Volume = {133},
Year = {2019}}
@inproceedings{jin2013forex,
Author = {Jin, Fang and Self, Nathan and Saraf, Parang and Butler, Patrick and Wang, Wei and Ramakrishnan, Naren},
Booktitle = {Proceedings of the 19th ACM SIGKDD international conference on Knowledge discovery and data mining},
Date-Added = {2019-12-02 14:39:01 -0500},
Date-Modified = {2019-12-02 14:39:01 -0500},
Organization = {ACM},
Pages = {1470--1473},
Title = {Forex-foreteller: Currency trend modeling using news articles},
Year = {2013}}
@article{schumaker2006textual,
Author = {Schumaker, Robert and Chen, Hsinchun},
Date-Added = {2019-12-02 14:37:46 -0500},
Date-Modified = {2019-12-02 14:37:46 -0500},
Journal = {AMCIS 2006 Proceedings},
Pages = {185},
Title = {Textual analysis of stock market prediction using financial news articles},
Year = {2006}}
@article{salemspanning,
Author = {Salem, M{\'e}lika Ben and Castelletti, B{\'a}rbara and Csullag, Balazs and Danielsson, Jon and Macrae, Robert and Daoud, Ziad and Brookes, Martin and Viceira, Luis and Campbell, John and Sunderam, Adi},
Bdsk-Color = {1},
Date-Added = {2019-12-01 17:04:51 -0500},
Date-Modified = {2019-12-02 14:35:29 -0500},
Title = {The spanning hypothesis and risk premia in long-term bonds}}
@article{bekaert1992characterizing,
Author = {Bekaert, Geert and Hodrick, Robert J},
Bdsk-Color = {1},
Date-Added = {2019-12-01 14:36:32 -0500},
Date-Modified = {2019-12-02 14:35:23 -0500},
Journal = {The Journal of Finance},
Number = {2},
Pages = {467--509},
Publisher = {Wiley Online Library},
Title = {Characterizing predictable components in excess returns on equity and foreign exchange markets},
Volume = {47},
Year = {1992}}
@article{patel2018regression,
Author = {Patel, Kavir and Mohamed, Ashfaaq and van Vuuren, Gary W},
Bdsk-Color = {1},
Date-Added = {2019-12-01 14:34:55 -0500},
Date-Modified = {2019-12-02 14:35:19 -0500},
Journal = {South African Journal of Economic and Management Sciences},
Number = {1},
Pages = {1--15},
Publisher = {AOSIS Publishing},
Title = {A regression and comparative study of United States and South African yield curves using principal component analysis},
Volume = {21},
Year = {2018}}
@article{galeshchuk2017deep,
Author = {Galeshchuk, Svitlana and Mukherjee, Sumitra},
Bdsk-Color = {1},
Date-Added = {2019-12-01 01:41:41 -0500},
Date-Modified = {2019-12-01 14:34:46 -0500},
Journal = {Intelligent Systems in Accounting, Finance and Management},
Number = {4},
Pages = {100--110},
Publisher = {Wiley Online Library},
Title = {Deep networks for predicting direction of change in foreign exchange rates},
Volume = {24},
Year = {2017}}
@inproceedings{galeshchuk2017,
Author = {Galeshchuk, Svitlana and Mukherjee, Sumitra},
Bdsk-Color = {1},
Booktitle = {ICAART (2)},
Date-Added = {2019-12-01 01:41:12 -0500},
Date-Modified = {2019-12-01 14:34:41 -0500},
Pages = {681--686},
Title = {Deep Learning for Predictions in Emerging Currency Markets.},
Year = {2017}}
@inproceedings{fletcher2009machine,
Author = {Fletcher, Tristan and Redpath, Fabian and D'Alessandro, Joe},
Bdsk-Color = {1},
Booktitle = {Proceedings of the World Congress on Engineering},
Date-Added = {2019-12-01 01:39:38 -0500},
Date-Modified = {2019-12-01 14:34:44 -0500},
Organization = {Citeseer},
Title = {Machine learning in fx carry basket prediction},
Volume = {2},
Year = {2009}}
@article{thu2018supervised,
Author = {Thu, Thuy Nguyen Thi and Xuan, Vuong Dang},
Bdsk-Color = {1},
Date-Added = {2019-12-01 01:38:37 -0500},
Date-Modified = {2019-12-01 14:34:49 -0500},
Journal = {International Journal of Intelligent Systems and Applications},
Number = {9},
Pages = {48},
Publisher = {Modern Education and Computer Science Press},
Title = {Supervised support vector machine in predicting foreign exchange trading},
Volume = {10},
Year = {2018}}
@techreport{lustig2013term,
Author = {Lustig, Hanno and Stathopoulos, Andreas and Verdelhan, Adrien},
Bdsk-Color = {1},
Date-Added = {2019-11-30 15:07:22 -0500},
Date-Modified = {2019-12-01 01:36:11 -0500},
Institution = {National Bureau of Economic Research},
Title = {The term structure of currency carry trade risk premia},
Year = {2013}}
@techreport{burnside2011carry,
Author = {Burnside, Craig},
Bdsk-Color = {1},
Date-Added = {2019-11-30 15:05:10 -0500},
Date-Modified = {2019-12-01 01:36:08 -0500},
Institution = {National Bureau of Economic Research},
Title = {Carry trades and risk},
Year = {2011}}
@article{cenedese2014foreign,
Author = {Cenedese, Gino and Sarno, Lucio and Tsiakas, Ilias},
Bdsk-Color = {1},
Date-Added = {2019-11-30 15:02:56 -0500},
Date-Modified = {2019-12-01 01:36:14 -0500},
Journal = {Journal of Banking \& Finance},
Pages = {302--313},
Publisher = {Elsevier},
Title = {Foreign exchange risk and the predictability of carry trade returns},
Volume = {42},
Year = {2014}}
@article{berg2018measures,
Author = {Berg, Kimberly A and Mark, Nelson C},
Bdsk-Color = {1},
Date-Added = {2019-11-30 15:01:53 -0500},
Date-Modified = {2019-12-01 01:36:17 -0500},
Journal = {Journal of International Money and Finance},
Pages = {212--227},
Publisher = {Elsevier},
Title = {Measures of global uncertainty and carry-trade excess returns},
Volume = {88},
Year = {2018}}
@article{hansen1980forward,
Author = {Hansen, Lars Peter and Hodrick, Robert J},
Bdsk-Color = {1},
Date-Added = {2019-11-29 18:06:43 -0500},
Date-Modified = {2019-11-29 21:21:46 -0500},
Journal = {Journal of political economy},
Number = {5},
Pages = {829--853},
Publisher = {The University of Chicago Press},
Title = {Forward exchange rates as optimal predictors of future spot rates: An econometric analysis},
Volume = {88},
Year = {1980}}
@article{fama1984forward,
Author = {Fama, Eugene F},
Bdsk-Color = {1},
Date-Added = {2019-11-29 00:09:32 -0500},
Date-Modified = {2019-11-29 01:03:49 -0500},
Journal = {Journal of monetary economics},
Number = {3},
Pages = {319--338},
Publisher = {Elsevier},
Title = {Forward and spot exchange rates},
Volume = {14},
Year = {1984}}
@book{aggarwal2013uncovered,
Author = {Aggarwal, Sahil and others},
Bdsk-Color = {1},
Date-Added = {2019-11-28 21:29:05 -0500},
Date-Modified = {2019-11-29 00:09:49 -0500},
Publisher = {Leonard N. Stern School of Business, Department of Economics},
Title = {The Uncovered Interest Rate Parity Puzzle in the Foreign Exchange Market},
Year = {2013}}
@article{meese1983empirical,
Author = {Meese, Richard A and Rogoff, Kenneth},
Bdsk-Color = {1},
Date-Added = {2019-11-28 20:54:29 -0500},
Date-Modified = {2019-11-28 21:14:56 -0500},
Journal = {Journal of international economics},
Number = {1-2},
Pages = {3--24},
Publisher = {Elsevier},
Title = {Empirical exchange rate models of the seventies: Do they fit out of sample?},
Volume = {14},
Year = {1983}}
@article{menkhoff2011risk,
Author = {Menkhoff, Lukas and Sarno, Lucio and Schmeling, Maik and Schrimpf, Andreas},
Bdsk-Color = {1},
Date-Added = {2019-11-28 14:48:03 -0500},
Date-Modified = {2019-11-29 01:04:03 -0500},
Journal = {VoxEU. org},
Title = {The risk in carry trades},
Volume = {23},
Year = {2011}}
@article{wang2008exchange,
Author = {Wang, Jian and others},
Bdsk-Color = {1},
Date-Added = {2019-11-28 14:45:43 -0500},
Date-Modified = {2019-11-28 21:14:45 -0500},
Journal = {Economic Letter},
Publisher = {Federal Reserve Bank of Dallas},
Title = {Why are exchange rates so difficult to predict?},
Volume = {3},
Year = {2008}}
@techreport{bussiere2018new,
Author = {Bussiere, Matthieu and Chinn, Menzie D and Ferrara, Laurent and Heipertz, Jonas},
Bdsk-Color = {1},
Date-Added = {2019-11-28 14:44:35 -0500},
Date-Modified = {2019-11-29 01:03:38 -0500},
Institution = {National Bureau of Economic Research},
Title = {The new Fama puzzle},
Year = {2018}}