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 …

Market impacts of Japanese macroeconomic announcements within minutes on the dollar/yen foreign exchange are analyzed …-term business survey conducted by Bank of Japan), GDP, industrial production (preliminary), PPI, CPI (Tokyo area), the unemployment … components have return impacts also have impacts on deals and volatility. The announcement itself, in addition to the magnitude …

Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …

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 …

This paper examines the efficiency of the forward yen/dollar market using micro survey data. We first argue that the …

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 … variation, we formally develop the links between the conditional covariancematrix and the concept of realized volatility. Next …

higher than justified by investors' own subsequent short-term return expectations. This excess volatility in forward … expectations helps account for excess volatility in prices, inelastic demand for equities, and stylized facts about the equity term …