The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated … volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads … estimate of the effect of the volatility on the spreads. Although the spread-volatility relation implied by the option model of …

We examine the evidence of contagion during the pre World War I era and the interwar and contrast our findings with the …

This paper shows that proximity to major international financial centers seems to reduce business cycle volatility. In …

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …

We study the pattern of volatility of gross issuance in international capital markets since 1980. We find several short …-lived episodes of high volatility. Over the long run, however, volatility has declined, suggesting that international financial …-varying pattern of volatility, focusing in particular on the role of financial centers. Our results suggest that a significant portion …

different theoretical approaches explaining crises and capital flow volatility …

world are debt-led and the factors associated with debt-led episodes are similar to the factors behind episodes identified …

An efficient method is developed for pricing American options on combination stochastic volatility …/jump-diffusion processes when jump risk and volatility risk are systematic and nondiversifiable, thereby nesting two major option pricing … models. The parameters implicit in PHLX-traded Deutschemark options of the stochastic volatility/jump- diffusion model and …

Market participants' forecasts of future exchange rate volatility can be recovered from option contracts on foreign … currencies. Such implicit volatility forecasts for four currencies are used to test rational expectations jointly with the … version of market rationality: the market can correctly forecast the direction of the change in exchange rate volatility. This …