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Crash Risk in Currency Returns
16 references·0 citing·51 second hopsampled
Crash Risk in Currency Returns (2012)Crash Risk in Currency ReturnsCrash-neutral currency carry trades (2014)Crash-neutral currency carry …Carry Trades and Global Foreign Exchange Volatility (2012)Carry Trades and Global Forei…Disasters Implied by Equity Index Options (2011)Disasters Implied by Equity I…Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2010)Can Time-Varying Risk of Rare…Carry Trades and Currency Crashes (2008)Carry Trades and Currency Cra…Maximum likelihood estimation of stochastic volatility models (2006)Maximum likelihood estimation…Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle? (2006)Can Information Heterogeneity…Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth (2005)Using Asset Prices to Measure…Bond Yields and the Federal Reserve (2005)Bond Yields and the Federal R…An Empirical Investigation of Continuous‐Time Equity Return Models (2002)An Empirical Investigation of…The Impact of Jumps in Volatility and Returns (2001)The Impact of Jumps in Volati…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options (1993)Jumps and Stochastic Volatili…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…The Message in Daily Exchange Rates: A Conditional-Variance Tale (1989)The Message in Daily Exchange…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Macroeconomics and Reality (1980)Continuous Auctions and Insider Trading (1985)Chapter 49 Arch models (1994)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)The econometrics of financial markets (1996)Risk, Return, and Equilibrium: Empirical Tests (1973)The Pricing of Options and Corporate Liabilities (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Currency momentum strategies (2012)Conditional risk premia in currency markets and other asset classes (2014)Intermediary asset pricing: New evidence from many asset classes (2017)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)Discretion versus policy rules in practice (1993)Monetary Policy Shocks: What Have We Learned and to What End? (1998)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2016)Empirical exchange rate models of the seventies (1983)The Determinants of Credit Spread Changes (2001)Market Liquidity and Funding Liquidity (2008)Do Peso Problems Explain the Returns to the Carry Trade? (2010)International Liquidity and Exchange Rate Dynamics * (2015)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Alternative models for stock price dynamics (2003)The Relative Contribution of Jumps to Total Price Variance (2005)Theory of Rational Option Pricing (1973)The Price of Correlation Risk: Evidence from Equity Options (2009)Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (2010)Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices (2010)The General Theory of Employment, Interest and Money. (1936)Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve (2002)Beauty Contests and Iterated Expectations in Asset Markets (2006)Information Immobility and the Home Bias Puzzle (2009)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)The Impact of Jumps in Volatility and Returns (2003)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Testing for a Unit Root in Time Series Regression (1988)Inequality Constraints in the Univariate GARCH Model (1992)MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)
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References

  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited
  • 2002An Empirical Investigation of Continuous‐Time Equity Return Models868 cited
  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market840 cited
  • 2008Carry Trades and Currency Crashes792 cited
  • 1989The Message in Daily Exchange Rates: A Conditional-Variance Tale647 cited
  • 2006Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?569 cited
  • 2005Bond Yields and the Federal Reserve557 cited
  • 2006Maximum likelihood estimation of stochastic volatility models538 cited
  • 2010Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?349 cited
  • 2005Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth338 cited
  • 2001The Impact of Jumps in Volatility and Returns338 cited
  • 2014Crash-neutral currency carry trades319 cited
  • 1993Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options

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  • 2011Disasters Implied by Equity Index Options299 cited
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