Currency option implied volatility predicts more efficiently exchange rate volatility for the Polish zloty relative to … GARCH model shows a positive impact of the introduction of the Euro on exchange rate volatility for the Polish zloty …

-of-sample forecasting performance. Finally, issues related to the adequateness of standard methods of evaluation of (linear and nonlinear …) exchange rate models are discussed with reference to different forecast accuracy criteria. …

central banks should not be overly concerned with short-run volatility of their national exchange rates, given the self …

explore this question by comparing long-run volatility trends in CEE currencies and the euro. We find that these trends are … euro. Spillovers of volatility across regional markets appear to have diminished over time, with the exception of the … Hungarian forint, which remains a source of volatility shocks to regional currencies. …

correcting for the volatility risk premium and errors-in-variable problems, using state-of-the-art techniques (Chernov 2001). It …. Moreover, implied volatilities generally anticipate the direction of volatility correctly, with a bias to overpredicting … volatility increases reflecting one-sided markets. …

systems. Based on theory and stylized facts, the paper explores a range of financial and real variables that explain such PoDs …