This paper advances the literature on the dynamics of the U.S. Dollar-Mexican Peso (USD/MXN) volatility process by … leveraging high-frequency data. First, it documents the factors that characterize the intraday volatility process of the USD … the effects and the relative impact on the USD/MXN volatility process of various macroeconomic announcements, at different …

characteristics of an asset, namely, return, volatility and liquidity, our model is designed to predict these three parameters for a …

We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using … high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock … that, as the publicly available information becomes stale, volatility effects and its persistence should increase, as the …

We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using … high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock … that, as the publicly available information becomes stale, volatility effects and its persistence should increase, as the …