Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums … general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …

exert a volatility amplifying effect, depending on the currency of denomination and the cyclicality of the borrower … consumption volatility of low- and middle-income countries. On constructing the debt-weighted effective exchange rates, we examine …

exert a volatility amplifying effect, depending on the currency of denomination and the cyclicality of the borrower … consumption volatility of low- and middle-income countries. On constructing the debt-weighted effective exchange rates, we examine …

, provided they capture an asymmetric volatility response and a heavy-tailed returns distribution. Moreover, on ranking each …

.- AppendixA.- Modern Exchange Rate Theory and Schumpetrian Economic Analysis:New Approach and Application to the Euro … for the Euro: Theory, Strategic Issues andPolicy Options: Introduction.- Exchange Rate Regimes and Exchange Rate Policies …

construct a term structure of bitcoin implied volatility indices using a variance swap fair-value formula that is employed by … million option prices, we construct the bitcoin implied volatility indices with maturities from one week to three months … also examine the relationship between bitcoin's 30-day realised variance, volatility index and variance risk premium with …