unions to estimate the effect of currency unions on trade using (then-) conventional gravity models. In this paper, we use a … variety of empirical gravity models to estimate the currency union effect on trade and exports, using recent data which … a smaller trade effect than other currency unions; it has a mildly stimulating effect at best. Third and most …

A gravity model is used to assess the separate effects of exchange rate volatility and currency unions on international … trade. The panel data set used includes bilateral observations for five years spanning 1970 through 1990 for 186 countries … same currency. I find a large positive effect of a currency union on international trade, and a small negative effect of …

This paper shows that proximity to major international financial centers seems to reduce business cycle volatility. In … experience more volatile growth rates in both output and consumption, even after accounting for political institutions, trade …

The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility … more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the … CIV measure and relate it to MFIV under general assumptions. In addition, we price the various volatility contracts, and …

intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional … alleviate microstructure frictions for realized volatility estimation. Size and power of the procedure are explored through …

We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term … cross-section of fixed-maturity zero-coupon bonds ("realized yield volatility") through the use of high-frequency data. We … find that the yield curve fails to span yield volatility, as the systematic volatility factors are largely unrelated to the …

A rapidly growing literature has documented important improvements in financial return volatility measurement and … return volatility. In an application to the DM/$ exchange rate, the S&P500 market index, and the 30-year U.S. Treasury bond … non-jump movements in a simple but sophisticated volatility forecasting model, we find that almost all of the …