We consider various MIDAS (Mixed Data Sampling) regression models to predict volatility. The models differ in the … specification of regressors (squared returns, absolute returns, realized volatility, realized power, and return ranges), in the use … data, we find that daily realized power (involving 5-minute absolute returns) is the best predictor of future volatility …

variability. We show that financial liberalization is mostly associated with lower consumption growth volatility. Our results are … volatility after equity market openings. The results hold for both total and idiosyncratic consumption growth volatility. We also … find that financial liberalizations are associated with declines in the ratio of consumption growth volatility to GDP …

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 …

. Assuming that news has only country specific autocorrelation such as a heat wave. any intra-daily volatility spillovers (meteor …. Using a volatility type of vector autoregression we examine the impact of news in one market on the time path of volatility …

This paper addresses the puzzle of regime-dependent volatility in foreign exchange. We extend the literature in two … induce volatility under flexible rates because they have portfolio-balance effects on price, whereas under fixed rates the …

produces two striking results: (i) Much of the observed short-term volatility in exchange rates comes from sampling the …

This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm … levels. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility …, while the number of stocks needed to achieve a given level of diversification has increased. All the volatility measures …

This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets. Using … for stocks under stochastic volatility varies strongly with the investor's coefficient of relative risk aversion, but only … preference parameters. This paper also shows that stochastic variation in volatility produces an optimal intertemporal hedging …