This research explores upside and downside jumps in the dynamic processes of three rates: domestic interest rates, foreign interest rates, and exchange rates. To fill the gap between the asymmetric jump in the currency market and the current models, a correlated asymmetric jump model is proposed...

The variance risk premium is a critical risk factor to predict expected returns. However, many studies indicate that expected returns depend strongly on the state of the economy. In this paper, we wish to determine whether the predictive power of the variance risk premium differs across market...