An earlier version of this study was circulated under the title “Is There an Asymmetric Return-Volatility Relation in the Foreign Exchange Market: Evidence from the EVZ.” We would like to thank session participants at the 2011 Eastern Finance Association meetings in Savannah, GA and the 2011 Financial Management Association meetings in Denver, CO for helpful comments and suggestions.
Examining the Return–Volatility Relation for Foreign Exchange: Evidence from the Euro VIX
Article first published online: 26 NOV 2012
© 2012 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 34, Issue 1, pages 74–92, January 2014
How to Cite
Daigler, R. T., Hibbert, A. M. and Pavlova, I. (2014), Examining the Return–Volatility Relation for Foreign Exchange: Evidence from the Euro VIX. J. Fut. Mark., 34: 74–92. doi: 10.1002/fut.21582
- Issue published online: 6 DEC 2013
- Article first published online: 26 NOV 2012
- Manuscript Accepted: 23 SEP 2012
- Manuscript Received: 6 DEC 2011
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