from risk reversal contracts and macroeconomic news surprises. We focus on the height of the carry trade period in Japan … (March 2004 through December 2006). Concerns about sharp yen appreciation were particularly evident during the period of … investigate the direct impact of news on the value of dollar yen risk reversals. We also consider the effect of the value of risk …

literature, we are able to identify a significant impact of macroeconomic surprises on foreign exchange volatility of JPY … distribution) during the period when concerns about sharp yen appreciation were particularly high, hence more likely to show up in … determinant of risk reversals during periods of heavy carry trade volume, particularly when the cost of hedging against large yen …

volatility of Thailand and Indian Stock Market. It also analysed whether both countries were reacting similarly to the pandemic … models were used to assess the volatility of both markets. The study revealed that the negative shocks had greateraimpact on …

period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign …

and Germany seem the "net volatility receivers". Our findings may help in formulating appropriate regulatory policies and …The purpose of the paper is twofold. First, it aims at identifying when UK and European (France, Germany, Italy and … dynamics of CDS volatility spillover effects surrounding the UK's EU membership referendum commonly known as "Brexit". Using a …