Return-Implied Volatility Dynamics of High and Low Yielding Currencies

Author:

Kaurijoki Miikka1,Nikkinen Jussi2,Äijö Janne2

Affiliation:

1. Miikka Kaurijoki is a PhD student at the University of Vaasa; Vaasa Finland

2. Jussi Nikkinen and Janne Äijö are Professors of Accounting and Finance at the University of Vaasa; Vaasa Finland

Funder

Academy of Finland

Finnish Science Foundation for Economics and Technology

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference42 articles.

1. Exchange-rate volatility and foreign trade: Evidence from thirteen LDCs;Arize;Journal of Business & Economics Statistics,2000

2. The impact of trades on daily volatility;Avramov;Review of Financial Studies,2006

3. Quantile regression analysis of the asymmetric return-volatility relation;Badshah;Journal of Futures Markets,2012

4. Exchange rate volatility and trade flows: A review article;Bahmani-Oskooee;Journal of Economic Studies,2007

5. Carry trades, momentum trading and the forward premium anomaly;Baillie;Journal of Financial Markets,2011

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