The relationship between trading volume and volatility in foreign exchange markets continues to be of much interest …, especially given the higher than expected volatility of returns. Allowing for non-linearities, this paper tests competing … hypotheses on the possible relationship between volatility and trading volume using data for three major currency futures …

We investigate the pricing of volatility risks in currency markets. First, we show that pricing ability of volatility … risk is concentrated in some of its components. Diffusive volatility dominates jump volatility in pricing carry trade … returns, while jump volatility is important in jointly explaining carry trade and momentum returns. Both short-run and long …

-wide volatility connectedness episodes, indicating bad states of the world. In contrast, high interest rate currencies perform …I empirically examine the system-wide volatility connectedness risk of currencies as an explanation for the risk … rates. I find that system-wide volatility connectedness risk carries a significant and negative risk premium. That is, low …

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 …