Risk and return spillovers among the G10 currencies
Matthew Greenwood-Nimmo, Viet Hoang Nguyen, Barry Rafferty
Journal of Financial Markets | ELSEVIER SCIENCE BV | Published : 2016
We are indebted to J.P. Morgan and to Raphael Brun-Aguerre in particular for providing the FX options data used to compute the risk-neutral moments. We have benefited from constructive discussions with Heather Anderson, Alessio Bonato, Efrem Castelnuovo, Yu-chin Chen, Vance Martin, Anella Munro, Chris Neely, Kalvinder Shields, Yongcheol Shin, and Chris Skeels and from the comments of participants at the First Conference on Recent Developments in Financial Econometrics and Applications (Deakin University, December 2014) and at a research seminar at the University of Auckland. Financial support from the Faculty of Business and Economics at the University of Melbourne is gratefully acknowledged. The usual disclaimer applies.