We provide new empirical evidence that world currency and U.S. stock variance risk premiums have nonredundant and significant predictive power for the appreciat

This paper presents a theoretical model of exchange-rate determination intended to address the forward premium puzzle. It also explains the empirical observatio

Existing literature reports an empirical puzzle about the foreign exchange forward premium, the spread between the forward rate and the concurrently-observed sp

This article reviews the predictability evidence on the variance risk premium: ( a) It predicts significant positive risk premia across equity, bond, currency,

Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of sto