We analyse the impact of Bank of Japan"s (BoJ) intervention on the volatility of the USD/JPY exchange rates under a regime switching framework. We find that the Yen intervention decreases the volatility, and the impact is only significant when market volatility is low.

This study develops a multi-factor framework where not only market risk is considered but also potential changes in the investment opportunity set. Although previous studies find no clear evidence about a positive and significant relation between return and risk, favourable evidence can be...

The author investigates changes between volatility regimes in five Central and Eastern European countries to analyze whether these changes are consistent with changes in the official exchange rate arrangements. The analysis merges two approaches, the GARCH model (Bollerslev, 1986) and the Markov...

MS-GARCH option pricing model proposed in this paper accommodates new features of corn futures price movement in the era of biofuel production and therefore is more general. Our findings show that this new model will outperform models used in the existing literature both for the in-sample and...