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Variance risk premiums in foreign exchange markets

Ammann, Manuel; Buesser, Ralf - 2013

Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums in foreign exchange markets. We find significantly negative risk premiums when realized variance is computed from intraday data with low frequency. As a likely consequence of...

Persistent link: https://www.econbiz.de/10010410031

The Carry Trade and Implied Moment Risk

Broll, Michael - 2016

The carry trade is a zero net investment strategy that borrows in low yielding currencies and subsequently invests in high yielding currencies. It has been identified as highly profitable FX strategy delivering significantly excess returns with high Sharpe ratios. This paper shows that these...

Persistent link: https://www.econbiz.de/10012992882

The Variance Risk Premium around the World

Londono, Juan M. - 2015

I extend the evidence on the basic stylized facts documented for the U.S. variance risk premium (VP) and show that, while VPs in other countries are also positive and time varying, they do not have predictive power for domestic stock returns, in contrast to the implications of existing...

Persistent link: https://www.econbiz.de/10013032025

Currency Futures' Risk Premia and Risk Factors

Bernoth, Kerstin - 2020

The use of futures exchange contracts instead of forwards completes the maturity spectrum of the correlation between the spot yield and the premium. We ﬁnd that the forward premium puzzle (FFP) depends signiﬁcantly on the maturity horizon of the futures contract and the choice of sampling...

Persistent link: https://www.econbiz.de/10012835476

Currency futures' risk premia and risk factors

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2020

Persistent link: https://www.econbiz.de/10012209529

The Variance Risk Premium Around the World

Londono, Juan M. - 2011

This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the basic stylized facts traditionally documented for the US. I show that while the variance premiums in several countries are, on average, positive and display significant time...

Persistent link: https://www.econbiz.de/10013128804

The Variance Risk Premium Around the World

Londono, Juan M. - 2012

This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the basic stylized facts traditionally documented for the US. I show that while the variance premiums in several other countries are, on average, positive and display significant time...

Persistent link: https://www.econbiz.de/10013110367

Price and liquidity discovery in European sovereign bonds and futures

Jappelli, Ruggero; Lucke, Konrad; Pelizzon, Loriana - 2022

This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity …

Persistent link: https://www.econbiz.de/10013194146

Collateral-Adjusted CIP Arbitrages

Georgievska, Ljubica - 2021

I show that an important no-arbitrage consistent but costly collateral rental yield contributes to about two-thirds of …

Persistent link: https://www.econbiz.de/10013235376

A Systematic Approach to Pricing and Hedging of International Derivatives with Interest-Rate Risk

Frey, Rüdiger; Sommer, Daniel - 1996

We deal with the valuration and hedging of non path-dependent European options on one or several underlyings in a model … provide a unified and easily applicable approach to pricing and hedging Black-Scholes type options on stocks, bonds, forwards …. futures and exchange rates. We also cover the pricing and hedging of options to exchange two Black-Scholes type options for …

Persistent link: https://www.econbiz.de/10005841374

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