DOIONLINE 
DOIONLINE Publish In |
International Journal of Management and Applied Science (IJMAS)-IJMAS |
 Journal Home Volume Issue |
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Issue |
Volume-3,Issue-11 ( Nov, 2017 ) | |||||||||
Paper Title |
The Pricing of Unexpected Volatility in The Currency Market | |||||||||
Author Name |
Wenna Lu, Laurence Copeland | |||||||||
Affilition |
Cardiff Metropolitan University, Cardiff Business School | |||||||||
Pages |
12-16 | |||||||||
Abstract |
number of recent papers have investigated the role played by volatility in determining the cross section of currency returns. We show that the importance of volatility depends on whether the currency markets are unexpectedly volatile. Low volatility is largely unrewarded in the market, whereas high volatility is a risk which has a substantial impact on returns. Index Terms - carry trade, currency portfolios, trading strategies. | |||||||||
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