I test for the presence of asymmetric volatility in Japanese Yen cross-rate futures markets. My investigation is based … 2004 through 2009. I find that appreciation against the Japanese Yen (JPY) leads to significantly greater volatility for … on a variant of the heterogeneous autoregressive volatility model, using daily realized variance and return series from …

.S. dollars for Japanese yen - the cross-currency basis swap and the foreign exchange (FX) swap - using structural state space …

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …