exchange rate volatility. Eventually, the model offers a solution to the exchange rate disconnection puzzle. …

aggressiveness within the first 10 tiers, but that this pattern reverses in the outer layers of the book. In a high volatility …

There have been increasingly frequent claims that risk parity strategies are hiding an implicit short volatility … exposure or behave as though they are short volatility. In order to test the veracity of these claims, we simulate stylized … versions of three-asset-class (equity, fixed income, and commodities) risk parity and short volatility strategies, and we …

Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums … in foreign exchange markets. We find significantly negative risk premiums when realized variance is computed from … realized variance is based on high-frequency data. Common to all estimates, variance risk premiums are highly time-varying and …

Many recent papers have investigated the role played by volatility in determining the cross-section of currency returns … returns from the currency carry trade. We show that the importance of volatility depends on whether the currency markets are … unexpectedly volatile. Volatility innovations during relatively tranquil periods are largely unrewarded in the market, whereas …