"If there is no priced risk--including volatility risk--associated with hedging an option, then expected delta hedging errors should be zero. This paper finds that delta hedging errors of a synthetic at-the-money call option on foreign exchange futures are significantly positive and cannot be...

This paper presents the results of a survey of monetary authorities with respect to foreign exchange intervention. The survey offers evidence on new issues that would otherwise be difficult to investigate, such as response times, non-foreign exchange factors in intervention and profitability....

An extensive empirical literature documents a generally negative correlation, named the “leverage effect,” between asset returns and changes of volatility. It is more challenging to establish such a return-volatility relationship for jumps in high-frequency data. We propose new nonparametric...