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Foreign Exchange Implied. Variance and the Forward Premium Puzzle

Pavlidis, Efthymios, Shackleton, Mark B., Voukelatos, Nikolaos (2012) Foreign Exchange Implied. Variance and the Forward Premium Puzzle. In: 9th Applied Financial Economics (AFE) Conference, June 2012, Samos. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:30041)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
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Abstract

We explore the hypothesis that Jensen’s Inequality is related to the magnitude

subsequent realizations of spot exchange rates. Compared to the standard

as an additional regressor in the unbiased forward specification results in slope

implied variance is found to have a higher explanatory power over future spot

consistent with the hypothesis that the time-varying risk-premium documented

in previous studies contains a Jensen’s term of the future spot variance.

Item Type: Conference or workshop item (Paper)
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Nikolaos Voukelatos
Date Deposited: 07 Aug 2012 08:50 UTC
Last Modified: 06 May 2020 03:07 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/30041 (The current URI for this page, for reference purposes)
Voukelatos, Nikolaos: https://orcid.org/0000-0001-8272-2901
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