pricing model, with average currency returns and the mimicking portfolio for the innovations in currency volatility as risk …

for standard FX risk factors …

weighting is called crash-o-phobia. Using non-linear least squares and risk-neutral state prices implied by currency options, we …

during the volatile period, this risk, has a substantial impact on currency returns. The empirical results show that the two …

global macroeconomic fundamental risk. The risk factor is the cross-country high-minus-low conditional skewness of the …

global macroeconomic fundamental risk. The risk factor is the cross-country high-minus-low conditional skewness of the …

This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the …

We show that a global imbalance risk factor that captures the spread in countries' external imbalances and their …. The economic intuition is simple: net debtor countries offer a currency risk premium to compensate investors willing to …