Financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility and density forecasts. We use a unique dataset consisting of over 10 years of daily data on over-the-counter currency option prices. We find that the OTC implied volatilities provide largely unbiased and fairly accurate forecasts of 1-month and 3-month ahead realized volatility. Furthermore, we find that the 1-month option implied density forecasts are well calibrated for the centre of the distribution but we find evidence of misspecification in the tail density forecasts. * Corresponding author: peter.christoffersen@mcgill.ca. We would like to thank the Editors (Rene Garcia and Ruey Tsay) and two anonymous referees for very helpful comments. We have benefited from several visits to the External Division of the European Central Bank whose hospitality is gratefully acknowledged. Very useful comments were also provided by Torben Andersen, Lorenzo Cappiello, Olli Castren, Bruce Lehmann, Filippo di Mauro, Stelios Makrydakis, Nour Meddahi and Neil Shephard. The OTC volatilities used in this paper were provided by Citibank N.A. The usual disclaimer applies.

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This article reports the results of experimental asset markets in which participants trade two assets with distinct dividend claims. Some traders are able to transact in the markets for both assets, whereas others can trade in only one market. When some are restricted from transacting in one market, the ineligible asset that cannot be traded by all commands a super risk premium. Without this premium, unrestricted investors would not hold all the available shares of the ineligible asset. In addition, we find that although unrestricted traders have the opportunity to remove all risk, few take advantage of this hedging opportunity.

Optically active β-amino-α-methylene carbonyl derivatives (aza-Morita−Baylis−Hillman adducts) were prepared using a one-pot protocol involving an enantioselective Mannich reaction catalyzed by various quinine-based catalysts, followed by a Horner olefination.

The relative statistical and economic signi…cance of the leverage and feedback e¤ects on …rm level equity volatility is still an open issue in the …nance literature. We provide a dynamic framework to investigate both e¤ects simultaneously. An important feature of our methodology is that we allow leverage, volatility and risk premia to in ‡uence each other over time. Using the intersection of all …rms in CRSP and COMPUSTAT from 1971 to 2005, we perform our analysis using a Panel Vector Autoregression (PVAR) model. We …nd a much larger leverage e¤ect than reported in Christie (1982). Interestingly, we also …nd that the leverage e¤ect accumulates over time, rendering it up to …ve times larger than a static model would predict. JEL Classi…cation: C33