We quantify crash risk in currency returns. To accomplish this task, we develop and estimate an empirical model of …% (and can be as high as 40%) of total currency risk, as measured by the entropy of exchange rate changes, over horizons of … smiles and that jump risk is priced …

This paper finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If … idiosyncratic risk is priced, greater price inefficiency could be associated with higher expected returns. Consistent with this … price inefficiency is not explained by traditional risk factors, illiquidity, or transactions costs. It is also evidently …

The calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is … usually rather unstable due to the volatility of CDS spreads. Since credit derivatives on single names are not very liquid … CDSs and CDS indices, and we also evaluate the level of basis risk still remaining under the hedge. We address several …

risk in an incomplete market with both directional and volatility risk. We extend this model to multi-periods and show that …This paper documents the fact that in options markets, the (percentage) implied volatility bid-ask spread increases at … aforementioned phenomenon where risk averse and competitive option market makers quote bid and ask prices to minimize their inventory …

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits … asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between … the risk-neutral and objective expectations of the volatility, is distinctly less persistent and appears short …

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits … asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between … the risk-neutral and objective expectations of the volatility, is distinctly less persistent and appears short …

We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of … horizons up to six months. IRVRP is not subsumed by other predictors such as forward rate spread or equity variance risk … long-run risk, economic uncertainty, and inflation non-neutrality. In the model IRVRP is related to short-run risk only …

-movement increases in periods of financial distress. I also analyze the transmission of volatility between the two markets. The results … do not support the hypothesis that volatility propagation surges during financial distress periods. On the contrary, for … some cases, the data suggests that the lead-lag relationships between the two markets volatility are stronger during stable …

We re-examine the market efficiency of commodity futures using a new approach that accounts for both time-varying risk … are based on either risk neutral or constant risk premium assumptions as such they are biased towards the rejection of the … market efficiency hypothesis especially for commodity futures. The time varying risk premium is estimated using a state space …