reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat naïve … environment, we analyse the forecasting behaviour of students experimentally, using a simulated currency series. Our results … indicate that topically-oriented trend adjustment behaviour (TOTA) is a general characteristic of human forecasting behaviour …

A gravity model is used to assess the separate effects of exchange rate volatility and currency unions on international … exchange rate volatility, even after controlling for a host of features, including the endogenous nature of the exchange rate …

preferences, habits, and jumps. The metrics describe the pricing kernel’s dispersion (the entropy of the title) and dynamics (time …

volatility mean reverting assumptions. We propose generalisations with a time varying central tendency, jumps and stochastic … volatility, analyse their pricing performance, and their implications for the term structures of VIX futures and options, and the … option volatility "skews". We find that a model combining central tendency and stochastic volatility is required to reliably …

includes (i) Gaussian shocks with stochastic variance, (ii) jumps up and down in the exchange rate, and (iii) jumps in the … probability of jumps in variance is increasing in the variance but not related to interest rates. Many of the jumps in exchange … rates are associated with macroeconomic and political news, but jumps in variance are not. Overall, jumps account for 25% of …

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

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