Pasquale Della Corte

Imperial College London

Associate Professor of Finance

South Kensington Campus

Exhibition Road

London, SW7 2AZ

United Kingdom

http://https://sites.google.com/site/pasqualedellacorte/

Centre for Economic Policy Research (CEPR)

Research Affiliate

77 Bastwick Street

London, EC1V 3PZ

United Kingdom

SCHOLARLY PAPERS

10

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CITATIONS
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3

Scholarly Papers (10)

Volatility Risk Premia and Exchange Rate Predictability

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 71 Posted: 16 Mar 2013 Last Revised: 01 Jun 2015
Pasquale Della Corte, Tarun Ramadorai and Lucio Sarno
Imperial College London, Imperial College London and City University London - Sir John Cass Business School
Downloads 1,536 (8,514)
Citation 1

Abstract:

Exchange Rates, Volatility Risk Premium, Predictability, Minimum-Variance Currency Portfolio

Volatility Risk Premia and Exchange Rate Predictability

CEPR Discussion Paper No. DP9549
Number of pages: 80 Posted: 09 Jul 2013
Pasquale Della Corte, Tarun Ramadorai and Lucio Sarno
Imperial College London, Imperial College London and City University London - Sir John Cass Business School
Downloads 0
Citation 1

Abstract:

Exchange Rate, Hedgers, Order Flow, Predictability, Speculators, Volatility Risk Premium

2.
Downloads 1,011 ( 16,794)

Currency Premia and Global Imbalances

Winner of the Kepos Capital Award for the Best Paper on Investments at the 2013 WFA Meeting, 28th Australasian Finance and Banking Conference
Number of pages: 72 Posted: 20 Jun 2013 Last Revised: 28 Jul 2016
Pasquale Della Corte, Steven J. Riddiough and Lucio Sarno
Imperial College London, University of Melbourne and City University London - Sir John Cass Business School
Downloads 1,010 (16,507)

Abstract:

Currency Risk Premium; Global Imbalances; Foreign Exchange Excess Returns; Carry Trade

Currency Premia and Global Imbalances

CEPR Discussion Paper No. DP11129
Number of pages: 73 Posted: 18 Apr 2016
Pasquale Della Corte, Steven J. Riddiough and Lucio Sarno
Imperial College London, University of Melbourne and City University London - Sir John Cass Business School
Downloads 1 (571,731)

Abstract:

carry trade, currency risk premium, foreign exchange excess returns, global imbalances

3.

Exchange Rates and Sovereign Risk

Number of pages: 82 Posted: 15 Nov 2013 Last Revised: 16 Oct 2016
Pasquale Della Corte, Lucio Sarno, Maik Schmeling and Christian Wagner
Imperial College London, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Copenhagen Business School
Downloads 537 (18,802)

Abstract:

Exchange rates, currency risk premium, sovereign risk, CDS spreads

The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value

FRB of St. Louis Working Paper No. 2006-061B
Number of pages: 42 Posted: 06 Dec 2006
Pasquale Della Corte, Lucio Sarno and Daniel L. Thornton
Imperial College London, City University London - Sir John Cass Business School and Federal Reserve Bank of St. Louis - Research Division
Downloads 202 (124,072)

Abstract:

Expectation Hypothesis, Term Structure of Interest Rates, Vector Autoregression, Economic Value

The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value

CEPR Discussion Paper No. DP6445
Number of pages: 39 Posted: 30 May 2008
Pasquale Della Corte, Lucio Sarno and Daniel L. Thornton
Imperial College London, City University London - Sir John Cass Business School and Federal Reserve Bank of St. Louis - Research Division
Downloads 3 (553,302)

Abstract:

economic value, expectation hypothesis, term structure of interest rates, vector autoregression

The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much is it Worth?

Review of Economics and Statistics, Forthcoming
Number of pages: 54 Posted: 07 Oct 2010 Last Revised: 19 Jan 2016
Pasquale Della Corte, Lucio Sarno and Giulia Sestieri
Imperial College London, City University London - Sir John Cass Business School and Banque de France
Downloads 126 (187,603)

Abstract:

foreign exchange, predictability, global imbalances, fundamentals

The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much is it Worth?

Review of Economics and Statistics, Forthcoming, Banque de France Working Paper No. 313
Number of pages: 41 Posted: 12 Jan 2011
Pasquale Della Corte, Lucio Sarno and Giulia Sestieri
Imperial College London, City University London - Sir John Cass Business School and Banque de France
Downloads 47 (341,448)

Abstract:

foreign exchange, predictability, global imbalances, fundamentals

The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much is it Worth?

CEPR Discussion Paper No. DP8045
Number of pages: 56 Posted: 22 Nov 2010
Pasquale Della Corte, Lucio Sarno and Giulia Sestieri
Imperial College London, City University London - Sir John Cass Business School and affiliation not provided to SSRN
Downloads 4 (547,824)

Abstract:

foreign exchange, fundamentals, global imbalances, predictability

An Economic Evaluation of Empirical Exchange Rate Models

CEPR Discussion Paper No. DP6598
Number of pages: 43 Posted: 06 Jun 2008
Pasquale Della Corte, Lucio Sarno and Ilias Tsiakas
Imperial College London, City University London - Sir John Cass Business School and University of Guelph
Downloads 4 (547,824)
Citation 1

Abstract:

Bayesian MCMC Estimation, Bayesian Model Averaging, Economic Value, Exchange Rates, Forward Premium, Monetary Fundamentals, Volatility

An Economic Evaluation of Empirical Exchange Rate Models

The Review of Financial Studies, Vol. 22, Issue 9, pp. 3491-3530, 2009
Posted: 08 Sep 2009
Pasquale Della Corte, Lucio Sarno and Ilias Tsiakas
Imperial College London, City University London - Sir John Cass Business School and University of Guelph

Abstract:

F31, F37, G11

Spot and Forward Volatility in Foreign Exchange

CEPR Discussion Paper No. DP7893
Number of pages: 42 Posted: 19 Jul 2010
Pasquale Della Corte, Lucio Sarno and Ilias Tsiakas
Imperial College London, City University London - Sir John Cass Business School and University of Guelph
Downloads 3 (553,302)
Citation 1

Abstract:

Foreign Exchange, Forward Volatility Agreement, Implied Volatility, Unbiasedness, Volatility Speculation

Spot and Forward Volatility in Foreign Exchange

EFA 2009 Bergen Meetings Paper
Posted: 16 Feb 2009 Last Revised: 02 May 2012
Pasquale Della Corte, Lucio Sarno and Ilias Tsiakas
Imperial College London, City University London - Sir John Cass Business School and University of Guelph

Abstract:

Implied Volatility, Foreign Exchange, Forward Volatility Agreement, Unbiasedness, Volatility Speculation

8.

Macro Uncertainty and Currency Premia

Number of pages: 101 Posted: 01 Mar 2017 Last Revised: 13 Mar 2017
Pasquale Della Corte and Aleksejs Krecetovs
Imperial College London and Imperial College London
Downloads 0 (218,574)

Abstract:

analyst forecasts, carry trade, currency risk premium, global imbalances, macro uncertainty.

9.

The Cross-Section of Currency Volatility Premia

Number of pages: 87 Posted: 13 Jan 2017 Last Revised: 15 Jul 2017
Pasquale Della Corte, Roman Kozhan and Anthony Neuberger
Imperial College London, University of Warwick, Warwick Business School and Cass Business School, City, University of London
Downloads 0 (135,055)

Abstract:

Forward Volatility Agreement, Foreign Exchange Volatility, Risk Premium, Term Structure

10.

Market Closure and Short-Term Reversal

Asian Finance Association (AsianFA) 2016 Conference
Posted: 11 Feb 2016
Pasquale Della Corte, Robert Kosowski and Tianyu Wang
Imperial College London, Imperial College Business School and Imperial College Business School

Abstract:

Short-term reversal, Liquidity, Market closure