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Do foreign exchange risk premiums relate to the volatility in the foreign exchange and equity markets?

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Seasonal processes in the Euro-US Dollar daily exchange rate

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Modelling and forecasting long memory in exchange rate volatility vs. stable and integrated GARCH models

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Empirical relationship between macroeconomic volatility and stock returns : evidence from Latin American markets

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Optimal modelling frequency for foreign exchange volatility forecasting

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Central bank intervention and exchange rate volatility in Pakistan : an analysis using GARCH-X model

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Excessive exchange rate volatility has a deleterious effect on international financial flows, external trade, investment and output. Among others, these economic costs prompt the central bank in emerging countries to contain excessive exchange rate volatility through intervention in the foreign...

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Forecasting volatility in the financial markets : a comparison of alternative distributional assumptions

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