"If there is no priced risk--including volatility risk--associated with hedging an option, then expected delta hedging errors should be zero. This paper finds that delta hedging errors of a synthetic at-the-money call option on foreign exchange futures are significantly positive and cannot be...

Characterizing asset price volatility is an important goal for financial economists. The literature has shown that variables that proxy for the information arrival process can help explain and/or forecast volatility. Unfortunately, however, obtaining good measures of volume and/or order flow is...

Most intervention studies have been silent on the assumed structure of the economic system - implicitly imposing implausible assumptions - despite the fact that inference depends crucially on such issues. This paper identifies the cross-effects of intervention and the level of exchange rates...

Most intervention studies have been silent on the assumed structure of the economic system - implicitly imposing implausible assumptions - despite the fact that inference depends crucially on such issues. This paper proposes to identify the cross-effects of intervention with the level and...

Characterizing asset price volatility is an important goal for financial economists. The literature has shown that variables that proxy for the information arrival process can help explain and/or forecast volatility. Unfortunately, however, obtaining good measures of volume and/or order flow is...