(stochastic volatility), and more persistent serial correlation in stock trades than in squared stock price changes. We derive the …

Two types of statistical models are empirically applied to test the pattern of volatility in the exchange rate markets …

business cycle model. We construct a quarterly time series of the after-tax return to business capital. Its volatility is … considerably smaller than that of S&P 500 returns. The standard business cycle model captures almost 50% of the volatility in the … return to capital (relative to the volatility of output). We consider several departures from the benchmark model; the most …

on overshooting. In that literature overshooting is an important explanation for exchange rate volatility. A separate …