Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums … general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …

Modelling and forecasting of asset volatility and covariance is of prime importance in the construction of portfolios … idiosyncratic error terms. We apply this model to forecasting the time-varying covariances in a basket of high interest rate and a …