This paper aims to examine the symmetric and asymmetric effects of third country exchange rate volatility on the trade flow between the US and EU from January 2003 through March 2021. The monthly disaggregated data of the top twelve export and import industries are the sample frame. We find that...

In this paper, we modify Duan’s (1995) local risk-neutral valuation relationship (mLRNVR) for the GARCH option-pricing models. In our mLRNVR, the conditional variances under two measures are designed to be different and the variance process is more persistent in the risk-neutral measure than...