, we implement the mixture of log-normals model and a volatility-smoothing method. We discuss the time series behaviour of … second main observation is a significant spillover of volatility, as the implied volatility and kurtosis of the DAX RND are … mostly driven by the volatility of US stock prices. …

volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …

accelerating growth. Panel estimations reveal a robust negative relationship between exchange rate volatility and growth for …

I estimate the transmission of large global volatility shocks in international equity markets from the earlier (pre … significant increases in unanticipated volatility in US equity markets, which I relate to well-known historical events. My …

volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …