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Variance risk premiums in foreign exchange markets
Ammann, Manuel; Buesser, Ralf - 2013
Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums …
Persistent link: https://www.econbiz.de/10010410031
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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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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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Variance risk premium components and international stock return predictability
Londono, Juan M.; Xu, Nancy R. - 2019
Persistent link: https://www.econbiz.de/10012004721
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International Stock Return Predictability : The Role of U.S. Volatility Risk
Deng, Yizhe; Jiang, Fuwei; Wang, Yunqi; Zhou, Ti - 2022
This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and significantly predicts future stock market returns of the...
Persistent link: https://www.econbiz.de/10014236052
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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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Foreign Exchange Risk and the Predictability of Carry Trade Returns
Cenedese, Gino - 2014
This paper provides an empirical investigation of the time-series predictive ability of foreign exchange risk measures on the return to the carry trade, a popular investment strategy that borrows in low-interest currencies and lends in high-interest currencies. Using quantile regressions, we...
Persistent link: https://www.econbiz.de/10013066169
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Predictability of Currency Carry Trades and Asset Pricing Implications
Bakshi, Gurdip - 2012
This paper studies the time-series predictability of currency carry trades, constructed by selecting currencies to be bought or sold against the U.S. dollar, based on forward discounts. Changes in a commodity index, currency volatility and, to a lesser extent, a measure of liquidity predict...
Persistent link: https://www.econbiz.de/10013113110
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Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets
Ledenyov, Dimitri - 2015
exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …/time independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …
Persistent link: https://www.econbiz.de/10013013057
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Nearest-Neighbour Predictions in Foreign Exchange Markets
Fernández Rodríguez, Fernando; Sosvilla-Rivero, Simon; … - 2002
The purpose of this paper is to contribute to the debate on the relevance of non-linear predictors of high-frequency data in foreign exchange markets. To that end, we apply nearest-neighbour (NN) predictors, inspired by the literature on forecasting in non-linear dynamical systems, to...
Persistent link: https://www.econbiz.de/10014120247