This paper addresses the puzzle of regime-dependent volatility in foreign exchange. We extend the literature in two … induce volatility under flexible rates because they have portfolio-balance effects on price, whereas under fixed rates the …

The extent and direction of causation between micro volatility and business cycles are debated. We examine, empirically …

forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … ARCH or stochastic volatility models, which often perform poorly at intraday frequencies. Use of realized volatility … and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic …

. Our theory implies a connection between the estimated risk premium equation, and the influence of exchange rate volatility …We examine how exchange rate volatility affects exporter's pricing decisions in the presence of optimal forward …

floating rates allows for a lower variance of consumption, but exchange rate volatility itself leads to a lower average level …