This paper proposes a new way of modeling and forecasting intraday returns. We decompose the volatility of high … product of daily, diurnal and stochastic intraday volatility components. This model is applied to a comprehensive sample …

"Despite the common view that exchange rate volatility will inevitably depress the volume of international trade by … empirically investigate the impact of exchange rate volatility on real international trade flows, but with a much broader … perspective and an improved measure of volatility. Our 18-country data set consists of bilateral real exports for the period 1980 …

level of volatility which varies over time. This paper examines if social interaction and herd behaviour, based on the … volatility and it quickly reaches a higher state (at which point increasing the randomness of the network has little effect …). Assuming that all social networks have small world characteristics then there is an inherent level of volatility in …

The main problem in the combination of volatility forecasts is that the volatility cannot be directly observed and …. A common approach is to use the squared returns but these offer a noisy measure of the volatility and, in many settings … by referring to the concept of realized volatility even if, at very high frequencies, micro-structure market frictions …

. Volatility is studied both at the industry level (for 34 different industries from 1974-2003) and at the firm level (for 5 … mixed. A relationship between innovation and volatility emerges most strongly with firm level data, when firm dimension is … accounted for, and when time varying volatility is explicitly studied via GARCH analysis. The latter highlights the distinctive …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular …

In this paper we test whether volatility in six emerging markets has changed significantly over the period 1976 … the behavior of the sotck market volatility changed. The analysis suggests that volatility has behaved in a di …