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Expected currency returns and volatility risk premia

  • Published:2019-07 Issue: Volume:49 Page:206-234
  • ISSN:1062-9408
  • Container-title:The North American Journal of Economics and Finance
  • language:en
  • Short-container-title:The North American Journal of Economics and Finance

Author:

Haas Ornelas José Renato

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference25 articles.

1. Aloosh, Arash (2016) Global Variance Risk Premium and Forex Return Predictability. Available at SSRN: http://ssrn.com/abstract=2133999.

2. Beyond the carry trade: Optimal currency portfolios;Barroso;Journal of Financial and Quantitative Analysis,2015

3. The VIX, the variance premium and stock market volatility;Bekaert;Journal of Econometric,2014

4. Expected stock returns and variance risk premia;Bollerslev;The Review of Financial Studies,2009

5. Stock return predictability and variance risk premia: Statistical inference and international evidence;Bollerslev;Journal of Financial and Quantitative Analysis,2014

Cited by 7 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Commodity return predictability: Evidence from implied variance, skewness, and their risk premia☆☆;Journal of International Financial Markets, Institutions and Money;2022-07

2. Carry Trade Returns and Segmented Risk Pricing;Atlantic Economic Journal;2021-03

3. Variance risk premium and expected currency return: the story is different at the tails of the distribution;Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad;2021-01-02

4. Looking through systemic credit risk: Determinants, stress testing and market value;Journal of International Financial Markets, Institutions and Money;2020-01

5. Implied volatility term structure and exchange rate predictability;International Journal of Forecasting;2019-10
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