volatility. Empirical evidence indicates that a risky currency is associated with a relatively high interest rate. Taken together …, these two statements associate high-interest-rate currencies with low pricing kernel volatility. We document evidence … identification strategy revolves around using interest rate volatility differentials to make inferences about pricing kernel …

volatility. Empirical evidence implies that a risky currency is associated with a relatively high interest rate. Taken together …, these two statements associate high-interest-rate currencies with low pricing kernel volatility. We document evidence … suggesting that the opposite is true. We approximate the volatility of the pricing kernel with the volatility of the short …

volatility surface for euro-US dollar options, using a recently developed panel cointegration test that allows multiple …Implied volatility surface has been studied extensively for various option markets including equities, foreign … currencies, and commodities. Previous studies report that option implied volatility varies across moneyness, maturity, and time …

dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the …

prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …

tool for options portfolios using the "Maximum Loss" methodology based on Principal Components. -- Implied Volatility ; DAX …

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …