This paper proposes a risk measure, based on first-passage probability, which reflects intra-horizon risk in jump … models with finite or infinite jump activity. Our empirical investigation shows, first, that the proposed risk measure … consistently exceeds the benchmark Value-at-Risk (VaR). Second, jump risk tends to amplify intra-horizon risk. Third, we find large …

This paper examines the impact of Dollar exchange rate volatility on firm productivity in Emerging Markets economies … volatility reduces firm productivity growth. Exploring channels, its finds that the results are driven by countries with low …