examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are …

different emerging markets. Additionally, we show that including a simple day-to-day market volatility measure in our model … helps to improve its explanatory power. Our results indicate that higher market volatility is usually related to lower hedge …

volatility affects the hedge fund returns or not is one of the main questions that we ask in the paper. Our results reveal that … stock and bond market volatility do not have a significant impact on fund returns for the most part, which is a result that … is robust to various measures of volatility. Among the four regions we examine, only the emerging market hedge funds in …

This article identifies the best models for forecasting the volatility of daily exchange returns of developing …

ARCH and stochastic volatility models. We consider two major dollar exchange rates, and we show that returns standardized …

This paper addresses the predictive ability of currency volatility risk premium - the difference between an implied and … a realized volatility - over US dollar exchange rates using a time series perspective. The intuition is that, when risk … relationship between currency volatility risk premium and future currency returns. Results remain robust even after controlling for …