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The variance risk premium around the world
Londono, Juan M. - 2011
Persistent link: https://www.econbiz.de/10009577335
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Variance risk premiums and the forward premium puzzle
Londono, Juan M.; Zhou, Hao - 2012
Persistent link: https://www.econbiz.de/10009698092
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The Variance Risk Premium Around the World
Londono, Juan M. - 2011
This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the basic stylized facts traditionally documented for the US. I show that while the variance premiums in several countries are, on average, positive and display significant time...
Persistent link: https://www.econbiz.de/10013128804
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Variance Risk Premiums and the Forward Premium Puzzle
Londono, Juan M. - 2013
This paper presents evidence that the foreign exchange appreciation is predictable by the currency variance risk premium at a medium 6-month horizon and by the stock variance risk premium at a short 1-month horizon. Although currency variance risk premiums are highly correlated with each other...
Persistent link: https://www.econbiz.de/10013087550
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Variance Risk Premiums and the Forward Premium Puzzle
Londono, Juan M. - 2016
We provide new empirical evidence that world currency and U.S. stock variance risk premiums have nonredundant and significant predictive power for the appreciation rates of twenty-two currencies with respect to the U.S. dollar, especially at the four-month and one-month horizons, respectively....
Persistent link: https://www.econbiz.de/10013008002
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The Variance Risk Premium around the World
Londono, Juan M. - 2015
I extend the evidence on the basic stylized facts documented for the U.S. variance risk premium (VP) and show that, while VPs in other countries are also positive and time varying, they do not have predictive power for domestic stock returns, in contrast to the implications of existing...
Persistent link: https://www.econbiz.de/10013032025
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Exchange-rate exposure and Brexit: the case of FTSE, DAX and IBEX
Andrikopoulos, Athanasios; Dassiou, Xeni; Zheng, Min - In: International review of financial analysis 68 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012300942
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Variance Risk Premiums and the Forward Premium Puzzle
Londono, Juan M.; Zhou, Hao - 2017
This paper presents evidence that the foreign exchange appreciation is predictable by the currency variance risk premium at a medium 6-month horizon and by the stock variance risk premium at a short 1-month horizon. Although currency variance risk premiums are highly correlated with each other...
Persistent link: https://www.econbiz.de/10014121091
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The Variance Risk Premium Around the World
Londono, Juan M. - 2012
This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the basic stylized facts traditionally documented for the US. I show that while the variance premiums in several other countries are, on average, positive and display significant time...
Persistent link: https://www.econbiz.de/10013110367
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Has the Euro increased international price elasticities?
Holtemöller, Oliver; Zeddies, Götz - 2010
the Euro ; import price elasticity ; panel data ; Kalman-filter ; structural vector autoregression …The introduction of the Euro has been accompanied by the hope that intra-EMU trade would increase and that prices would … converge due to increased elasticities of international substitution. This paper contributes to the literature on the Euro …
Persistent link: https://www.econbiz.de/10009384450