obtained from discrete time models by comparing them with high-frequency ex post estimates (e.g. realised volatility) based on … illustration provides an example of where an explanatory model outperforms realised volatility ex post. -- Financial variability … ; financial volatility ; forecasting ; explanatory modelling ; exchange rates …

In this paper, we analyse the relationship between the currency carry return and volatility and liquidity risk factors … outperformance for volatility ones especially the global FX volatility risk factor. Consistent with the poor performance of currency … carry trades during high FX volatility regime, we also show that the well-established negative slope coefficient in the Fama …

distance of their implied volatility from the historical volatility, we obtain portfolios with positive average monthly returns …

This paper addresses the predictive ability of currency volatility risk premium - the difference between an implied and … a realized volatility - over US dollar exchange rates using a time series perspective. The intuition is that, when risk … relationship between currency volatility risk premium and future currency returns. Results remain robust even after controlling for …

losses, which is consistent with the unwinding of the carry trade in times of high volatility. The decomposition of market …