From: Upside and downside correlated jump risk premia of currency options and expected returns
 | US | EU | UK | JP |
---|---|---|---|---|
Panel (a): 1-Month LIBOR | ||||
Mean (%) | − 0.0002 | − 0.0006 | − 0.0008 | 0.0000 |
Std. (%) | 0.0257 | 0.0157 | 0.0260 | 0.0100 |
Skewness | − 2.1912 | 12.8803 | − 19.8004 | 10.7682 |
Kurtosis | 119.9268 | 683.7840 | 1095.9627 | 375.7140 |
Panel (b): 3-Month LIBOR | ||||
Mean (%) | − 0.0002 | − 0.0006 | − 0.0008 | 0.0000 |
Std. (%) | 0.0221 | 0.0103 | 0.0215 | 0.0050 |
Skewness | − 4.6322 | − 1.6300 | − 28.1122 | 1.3630 |
Kurtosis | 103.9143 | 32.0530 | 1364.8970 | 41.9883 |
Panel (c): 6-Month LIBOR | ||||
Mean (%) | − 0.0002 | − 0.0006 | − 0.0008 | 0.0000 |
Std. (%) | 0.0238 | 0.0110 | 0.0218 | 0.0047 |
Skewness | − 2.4002 | − 0.4917 | − 27.2462 | 1.8057 |
Kurtosis | 56.7922 | 34.9124 | 1334.2701 | 44.7464 |
Panel (d): 12-Month LIBOR | ||||
Mean (%) | − 0.0002 | − 0.0006 | − 0.0009 | 0.0000 |
Std. (%) | 0.0308 | 0.0146 | 0.0245 | 0.0050 |
Skewness | − 0.3537 | 1.7316 | − 19.4862 | 0.8376 |
Kurtosis | 25.0563 | 46.1529 | 873.4830 | 69.2170 |
Panel (e): Exchange Rate | EUR/USD | GBP/USD | JPY/USD | |
Mean (%) |  | − 0.0011 | 0.0044 | − 0.0017 |
Std. (%) | Â | 0.5778 | 6.6601 | 0.6104 |
Skewness |  | − 0.1054 | − 0.0028 | − 0.3157 |
Kurtosis | Â | 3.2436 | 20.2684 | 5.1661 |