"If there is no priced risk--including volatility risk--associated with hedging an option, then expected delta hedging … hypothesis that delta hedging errors reflect rational pricing; foreign exchange volatility and stock market volatility predict … them. Moreover, foreign exchange volatility also predicts excess stock market returns, indicating that foreign exchange …

to be robust using both the realized volatility model and the GARCH model, confirm that the value premium cannot be …

between a country's aggregate idiosyncratic volatility and the future U.S. dollar price of its currency--in France, Germany …"The paper documents a new empirical result that a high level of aggregate U.S. idiosyncratic stock return volatility … currencies. For example, idiosyncratic volatility accounts for over 20 percent variations of the subsequent change in the …