The first part of this paper briefly summarizes the assumptions of economic theory on the relationships between …

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 …

volatility, its realized skewness, and its value-at-risk. We apply monthly FX excess returns and monthly FX risk measures …

exchange rates and hence low exchange rate volatility. (2) It helps address but does not fully resolve the exchange rate …

between the theory on scapegoats and its empirical implementation. This new testing method consists of a number of steps …

This paper modelled the volatility persistence and asymmetry of naira-dollar exchange rate in interbank and Bureau de … GARCH model, appears to be better than the asymmetric ones in dealing with exchange rate volatility in the interbank market …

We argue that a transaction tax is likely to amplify, not dampen, volatility in the foreign exchange markets. Our … trades disproportionately, leading to increased volatility. Empirical support for this prediction is found by investigating … the effect of transaction costs on the volatility of DEM/USD and JPY/USD returns. High-frequency data are used and an …