due to taxation and how emergent properties from the interaction of traders like bubbles and crashes, excess volatility …, excess kurtosis and volatility clustering change. Numerical simulations reveal that under taxation traders abstain from short …-term trading in favour of longer investment horizons. This change in behavior leads to less excess volatility and diminishing …

investment horizons. This change in behavior leads to less volatility and less mispricings. When the tax rate exceeds a certain …

The relationship between trading volume and volatility in foreign exchange markets continues to be of much interest …, especially given the higher than expected volatility of returns. Allowing for non-linearities, this paper tests competing … hypotheses on the possible relationship between volatility and trading volume using data for three major currency futures …

We investigate the pricing of volatility risks in currency markets. First, we show that pricing ability of volatility … risk is concentrated in some of its components. Diffusive volatility dominates jump volatility in pricing carry trade … returns, while jump volatility is important in jointly explaining carry trade and momentum returns. Both short-run and long …

-wide volatility connectedness episodes, indicating bad states of the world. In contrast, high interest rate currencies perform …I empirically examine the system-wide volatility connectedness risk of currencies as an explanation for the risk … rates. I find that system-wide volatility connectedness risk carries a significant and negative risk premium. That is, low …