The large asset price jumps that took place during 2008 and 2009 disrupted volatility derivatives markets and caused …

appreciates in the medium run, while an increase in the volatility of productivity leads to a dollar depreciation. We propose a … volatility shocks is consistent with the empirical evidence. Furthermore we show that risk factors and interest-rate smoothing …

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 …, some other items have no return impacts but deals and volatility impacts. These facts are consistent with a view that …

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 …

We propose using the price range in the estimation of stochastic volatility models. We show theoretically, numerically …, and empirically that the range is not only a highly efficient volatility proxy, but also that it is approximately Gaussian …-maximum likelihood estimation produces simple and highly efficient estimates of stochastic volatility models and extractions of latent …

The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated … volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads … estimate of the effect of the volatility on the spreads. Although the spread-volatility relation implied by the option model of …

This paper offers empirical evidence that real exchange rate volatility can have a significant impact on long-term rate … countries with relatively low levels of financial development, exchange rate volatility generally reduces growth, whereas for … rate volatility, and outliers. We also offer a simple monetary growth model in which real exchange rate uncertainty …