appropriately. Finally, we implement a simple stochastic volatility model and simulate the credit transition matrix for two large … the constant volatility case. In particular, it can shift CTM probabilities towards lower credit risk categories …

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for … volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion … specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential …

countries. Proxies are focused on both spot and derivative transactions that alter the central bank's foreign currency position …

This paper examines the impact of changes in margin requirements on returns, transaction volumes, and price volatility … shift trade to the competing exchange. Price volatility or returns are not systematically affected by changes in margin …

coordination to address excessive exchange rate volatility might be limited in certain cases …

the size of the U.K. derivative markets. No definitive empirical support for a change in the transmission process is found …