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 …

We use a standard consumption-based asset pricing model incorporating conditioning information to explain the risk …

We use a standard consumption-based asset pricing model incorporating conditioning information to explain the risk …

This paper provides an empirical investigation of the time-series predictive ability of foreign exchange risk measures …

, I find that equity variance risk premiums (VRPs) — the difference between the risk-neutral and statistical expectations … provide a long-run risk model with stochastic volatility and complete markets, where the expected forex returns are a function …