Several recent papers have underlined the importance of the microstructure effects in understanding exchange rate … macroeconomic models and is consistent with the prediction of micro-structure models. We reexamine the evidence for stable long … statistically fragile. We conclude that this implication of microstructure models does not fit the data as well as previous studies …

stochastic volatility literature by assuming that the variance is a function of a state variable. However, instead of assuming …In this paper, we introduce a new approach for volatility modeling in discrete and continuous time. We follow the …

volatility. The new approach treats integrated volatility as a stochastic process sampled at high frequencies and suggests … distribution of volatility estimators involving data sampled at different frequencies. We focus on traditional historical … volatility filters involving monthly, daily and intra-daily observations. Second, we introduce a continuous record asymptotics …

Value-at-Risk (VaR) has emerged as the standard tool for measuring and reporting financial market risk. Currently, more … volatility measures, and the VaRs are tested and compared. La valeur exposée au risque (value at risk - VaR) est devenue un outil …

theoretical determinants of default risk and actual market premia using linear regression. These theoretical determinants are firm … leverage, volatility and the riskless interest rate. We find that estimated coefficients for these variables are consistent … premia is approximately 23%. Volatility and leverage by themselves also have substantial explanatory power for credit default …

capacity units are costly, indivisible, durable, and big relative to market size, early entry cannot secure a first …-mover advantage, so that both firms are active beyond some level of market development. Once both firms hold capacity, tacit collusion …, taking the form of postponed capacity investment, may occur in Markov Perfect Equilibrium. Volatility and the expected speed …

Policy makers and market participants often consider the forward-looking information in currency option valuations when … of realized volatility and interval and density forecasts can be extracted from strangles and risk-reversals. The purpose … of this paper is to assess the quality of such volatility, interval and density forecasts. We analyze option …

, volatility, and return correlation from stock market liberalization in emerging markets? These questions have been studied … extensively at the market-level but not at the firm level. Our results show significantly different impact of stock market … declines in volatility, and insignificant change in correlation from liberalization. Small firms show small revaluation effects …

described as a random coefficient GARCH, or doubly stochastic GARCH, where the durations between transactions determine the … transaction durations and vice versa. Otherwise the spacings between trades are considered exogenous to the volatility dynamics … causality between volatility and intra-trade durations. Under general conditions we propose several GMM estimation procedures …