considerable return shortfalls over the long run and that systematic currency hedging would not have been historically justified … and is unlikely to be in the future. Assuming a fair amount of currency risk thus appears inevitable for long-run Swiss …

franc and the Japanese yen vis-à-vis the US dollar before and after the introduction of the euro. Based on dynamic …This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss … with extreme economic episodes and, to a lower extend, with appreciations of the US dollar. Moreover, the euro (Deutsche …

We investigate possible presence of time-varying risk premia in forward pound, yen,and Euro monthly exchange rates …-varying risk premium component in yen and Euro. The same model provides evidence for the presence of risk premium in pound over a …