Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …

This paper examines the efficiency of the forward yen/dollar market using micro survey data. We first argue that the …

Market impacts of Japanese macroeconomic announcements within minutes on the dollar/yen foreign exchange are analyzed … components have return impacts also have impacts on deals and volatility. The announcement itself, in addition to the magnitude … of surprise, is found to increase the deals and price volatility in the immediately after the announcement. In addition …

Intraday movements in the yen/dollar rate are examined over the 1980-86 period using opening and closing quotes in the … and U.S. stock prices suggests that intraday yen/dollar rate movements do contain at least some relevant information …

Using tick-by-tick data of the dollar-yen and euro-dollar exchange rates recorded in the actual transaction platform, a …

The survey data on the yen/dollar exchange rate, collected twice a month for eight years from 1985 to 1993, shows the … includes sub-periods of sharp yen appreciations and of relative calm, and with respect to different specifications. Third, the …. Although the history of the yen/dollar exchange rate fluctuations in the past two decades shows mean reversion over several …

forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … ARCH or stochastic volatility models, which often perform poorly at intraday frequencies. Use of realized volatility … variation, we formally develop the links between the conditional covariancematrix and the concept of realized volatility. Next …