Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …

- 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering … prices. Having identified subperiods of homogeneous volatility dynamics we concentrate on stylized facts to distinguish these … volatility regimes. The bottom level of estimated volatility turns out be considerably higher during the second part of the …

Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on …

is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an …

"The paper documents a new empirical result that a high level of aggregate U.S. idiosyncratic stock return volatility … currencies. For example, idiosyncratic volatility accounts for over 20 percent variations of the subsequent change in the … between a country's aggregate idiosyncratic volatility and the future U.S. dollar price of its currency--in France, Germany …

cross-effects of intervention with the level and volatility of exchange rates using the likely timing of intervention … no significant effect on volatility. The paper also illustrates that such inference depends on paying careful attention …