Data

Updated data (1983/11-2015/04) for "Carry Trades and Global Foreign Exchange Volatility" are available for download below.

Data for the paper "Currency Momentum Strategies" are available from the JFE data archive (JFE Link). The data also include a benchmark Carry Trade Return ("HMLFX"), a measure of Global FX Volatility ("VOLFX"), and data mnemonics for individual currency pairs in Datastream.

Data and Programs for the paper "A Comprehensive Look at Financial Volatility Prediction by Economic Variables" are available from the JAE data archive (JAE Link).