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Crash Risk in Currency Returns · Study

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PreprintCrash Risk in Currency Returns

Mikhail Chernov2012

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Preprintgreen2012

Crash Risk in Currency Returns

Mikhail Chernov · Jeremy J. Graveline · Irina Zviadadze

24 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 2012Carry Trades and Global Foreign Exchange Volatility 2002An Empirical Investigation of Continuous‐Time Equity Return Models 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market 2008Carry Trades and Currency Crashes 1989The Message in Daily Exchange Rates: A Conditional-Variance Tale 2006Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?

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2018Crash Risk in Currency Returnsarticle · 14 shared references 2017Variance risk premiums and the forward premium puzzlearticle · 8 shared references 2013Forward and Spot Exchange Rates in a Multi-Currency Worldpreprint · 8 shared references 2009Stochastic Volatilityother · 8 shared references 2015Exchange Rates, Interest Rates, and the Risk Premiumreport · 8 shared references 2009Crash Risk in Currency Marketsreport · 7 shared references

Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations24

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.2023440

openalex_workW1481836752

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