2012. There is evidence of significant Australian Dollar (AUD), Euro and Japanese Yen (JPY) carry trades during non … were not present. For the AUD and JPY, we find that carry trades were more likely with low volatility and volume …

2012. There is evidence of significant Australian Dollar (AUD), Euro and Japanese Yen (JPY) carry trades during non … were not present. For the AUD and JPY, we find that carry trades were more likely with low volatility and volume …

scheduled economic releases on three exchange rates: EUR/$, JPY/$ and GBP/$. Using wavelets to analyze volatility behavior, we … empirically show that intraday volatility clusters increase as we approach the time of the releases, and decay exponentially after …. Finally, we propose a wavelet volatility estimator which is not only more efficient than a range estimator that is commonly …

This paper addresses the predictive ability of currency volatility risk premium - the difference between an implied and … a realized volatility - over US dollar exchange rates using a time series perspective. The intuition is that, when risk … relationship between currency volatility risk premium and future currency returns. Results remain robust even after controlling for …

negative, but, during the Covid-19 pandemic, the carry trade is the main net transmitter of volatility to all markets. Our …

losses, which is consistent with the unwinding of the carry trade in times of high volatility. The decomposition of market …