We investigate the predictive information content in foreign exchange volatility risk premia for exchange rate returns …. The volatility risk premium is the difference between realized volatility and a model-free measure of expected volatility … that is derived from currency options, and reflects the cost of insurance against volatility ‡fluctuations in the …

forward premia on monthly exchange rate returns in a framework that allows for volatility timing. We implement Bayesian … stochastic volatility innovations; and (ii) strategies based on combined forecasts yield large economic gains over the random …

Black/Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the … underlying asset’s return is a deterministic function of the asset price and time, and develop the deterministic volatility … 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive …

We study the effect of introducing a new security, such as a non-redundant derivative, on the volatility of stock … increases the volatility of stock-market returns. …

positively linked to the conditional volatility of future real activity and of equity returns. The joint information in sectoral …