strategies. When we do so, some questions are resolved: negative skewness is purged, and market volatility (VIX) is uncorrelated …

We investigate the predictive information content in foreign exchange volatility risk premia for exchange rate returns …. The volatility risk premium is the difference between realized volatility and a model-free measure of expected volatility … that is derived from currency options, and reflects the cost of insurance against volatility ‡fluctuations in the …

remarkably little effect on the volatility of exchange rates, the in-sample explanatory power of macro fundamentals and the …

forward premia on monthly exchange rate returns in a framework that allows for volatility timing. We implement Bayesian … methods for estimation and ranking of a set of empirical exchange rate models, and construct combined forecasts based on … stochastic volatility innovations; and (ii) strategies based on combined forecasts yield large economic gains over the random …

large currency attacks and introducing non-fundamental volatility into exchange rates and policy decisions. We show that the …

's stochastic volatility model. We apply those models on FF/DM OTC exchange rate options for various dates ranging between May 1996 …

movements. The redefinition of the MSCI world equity index in December 2000 provides an ideal natural experiment identifying …

event study analysis we find that intervention has important short-run effects on exchange ate returns and volatility. In …