Imperial College London
Alternate

Professor Pasquale Della Corte

Business School

Professor of Finance
 
 
 
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Contact

 

+44 (0)20 7594 9331p.dellacorte CV

 
 
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Location

 

5.01d53 Prince's GateSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Della:2021:10.1016/j.jfineco.2020.08.010,
author = {Della, Corte P and Kozhan, R and Neuberger, A},
doi = {10.1016/j.jfineco.2020.08.010},
journal = {Journal of Financial Economics},
pages = {950--970},
title = {The cross-section of currency volatility premia},
url = {http://dx.doi.org/10.1016/j.jfineco.2020.08.010},
volume = {139},
year = {2021}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward slopes - volatility carry strategy - generates significant excess returns. The covariation with volatility carry returns fully explains the cross-sectional variation of our slope-sorted portfolios. The lower the slope, the more the forward volatility agreement is exposed to volatility carry risk.
AU  - Della,Corte P
AU  - Kozhan,R
AU  - Neuberger,A
DO  - 10.1016/j.jfineco.2020.08.010
EP  - 970
PY  - 2021///
SN  - 0304-405X
SP  - 950
TI  - The cross-section of currency volatility premia
T2  - Journal of Financial Economics
UR  - http://dx.doi.org/10.1016/j.jfineco.2020.08.010
UR  - https://www.sciencedirect.com/science/article/pii/S0304405X20302385
UR  - http://hdl.handle.net/10044/1/79713
VL  - 139
ER  -
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