Many recent papers have investigated the role played by volatility in determining the cross-section of currency returns …. This paper employs two time-varying factor models: a threshold model and a Markov-switching model to price the excess … returns from the currency carry trade. We show that the importance of volatility depends on whether the currency markets are …

futures markets, and the exporter to face production shock, domestic factor costs and a random price. Applying the mean …-variance expected utility, we find that a rise in exchange rate volatility can reduce both supply and demand for commodities and … in their profit in domestic currency. It illustrates how the world prices and foreign futures prices of commodities and …

Recent studies have shown that disaster risk can generate asset return moments similar to those observed in the U … and government bill rates nor the high degree of equity return correlation found in the data. Moreover, the independence …

exchange return and its volatility. Particularly, an increase in the return at time t results in an increase in volatility at … floating exchange rate system in February 2001. In this paper, an asymmetric stochastic volatility model of the foreign … time t + 1. However, the effect is asymmetric: a decrease in the exchange rate return at time t causes a relatively less …

divergences in the tail returns from around the world. To do so, it applies extreme value theory to equity indices representing …