Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets

1996 ◽  
Vol 41 (2) ◽  
pp. 249-290 ◽  
Author(s):  
Bong-Chan Kho
Keyword(s):  
Futures Markets ◽  
Foreign Currency ◽  
Risk Premia ◽  
Time Varying ◽  
Trading Rule ◽  
Technical Trading ◽  
Currency Futures

scholarly journals Exchange Rates and Liquidity Risk

2020 ◽  
Vol 11 (2) ◽  
pp. 159
Author(s):  
Martin D.D. EVANS
Keyword(s):  
Risk Factors ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Foreign Currency ◽  
Liquidity Risk ◽  
Risk Premia ◽  
Time Varying ◽  
Foreign Exchange Risk ◽  
Exchange Risk

I use Forex trading data to study how risks associated with the lack of liquidity contribute to the dynamics of 17 spot exchange rates through their time-varying contributions to risk premia. I find that liquidity risk matters. All the foreign exchange risk premia compensate investors for exposure to liquidity risk; and, for many currencies, exposure to liquidity risk appears to be more important than exposure to the traditional carry and momentum risk factors. I also find that variations in the price of liquidity risk make economically important contributions to the behavior of individual foreign currency returns: they account for approximately 34%, on average, of the variability in currency returns compared to the contribution of approximately 8% from the prices of carry and momentum risk.

Risk Premia in Foreign Currency Futures: A Reexamination

1996 ◽  
Vol 31 (3) ◽  
pp. 521-534 ◽  
Author(s):  
Yiuman Tse ◽  
G. Geoffrey Booth
Keyword(s):  
Foreign Currency ◽  
Risk Premia ◽  
Currency Futures

scholarly journals Time Varying Risk Premia in Futures Markets

1990 ◽  
Vol 90 (116) ◽  
pp. 1 ◽  
Author(s):  
Graciela Laura Kaminsky ◽  
Manmohan S. Kumar ◽  
◽  
Keyword(s):  
Futures Markets ◽  
Risk Premia ◽  
Time Varying

Evidence of Risk Premiums in Foreign Currency Futures Markets

1992 ◽  
Vol 5 (1) ◽  
pp. 65-83 ◽  
Author(s):  
Thomas H. McCurdy ◽  
Ieuan Morgan
Keyword(s):  
Futures Markets ◽  
Foreign Currency ◽  
Risk Premiums ◽  
Currency Futures
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