the business cycle on the highfrequency volatility of the EUR/USD exchange rate. The results suggest that in general bad … news increases volatility more than good news. The news effects also depend on the state of the economy: bad news increases … volatility more in good times than in bad times, while there is no difference between the volatility effects of good news in bad …

a scaling Gaussian Markov process with H≠1/2 over a finite time interval. We conclude that both Hurst exponents and one …

correlations like those found in fractional Brownian motion. We construct a large set of scaling solutions of Fokker-Planck partial …. For the scaling solutions, we show how to reduce the calculation of the probability density to a single integration once … usual simple argument that H≠1/2 implies correlations fails for Markov processes with scaling solutions. Finally, we discuss …

scaling regions, we find that sliding interval methods can generate fat-tailed distributions as an artifact, and that the type … of scaling reported in many previous studies does not exist. …

volatility across different time scales. We call this property asymmetric vertical dependence. It is asymmetric in the sense that … a low volatility state (regime) at a long time horizon is most likely followed by low volatility states at shorter time … horizons. On the other hand, a high volatility state at long time horizons does not necessarily imply a high volatility state …