general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …

We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero …-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward … slopes - volatility carry strategy - generates significant excess returns. The covariation with volatility carry returns …

I show that volatility risk of the dollar factor --- an equally weighted basket of developed U.S. dollar exchange rates … --- carries a significant risk premium and that it is priced in the cross-section of currency volatility excess returns. The … dollar factor volatility risk premium is negative on average with an upward sloping and concave term structure. Consistent …

sector, and labor market flexibility. A clear-cut importance of exchange rate volatility cannot be found. Some conclusions …

This paper examines the effects of exchange rate volatility on the export of Turkey in the context of cointegration … model over the monthly period of 1989:01-2002:08. The major results show that increases in the volatility of the real …

on the MSADF-RV test, we observe the occurrence of volatility switches in the exchange rate and the consumer price …

estimation of stochastic volatility models. We show both theoretically and empirically that the log range is approximately …We propose using the price range, a recently-neglected volatility proxy with a long histoy in finance, in the … Gaussian, in sharp contrast to popular volatility proxies, such as log absolute or squared returns. Hence Gaussian quasi …

euro. At the end of our estimation period, the previous exchange rate movements had shifted the upper bound of the play …

euro. At the end of our estimation period, the previous exchange rate movements had shifted the upper bound of the play …