forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic … volatility forecast, coupled with a parametric lognormal-normal mixture distribution implied by the theoretically and empirically …

We present theory and evidence that challenges the view that forward premia contain little information regarding … forecast error for the spot rate (relative to a random walk forecast) by at least 33 percent at a 6-month horizon and by some …

forecasters tend to extrapolate recent trends, while at long horizons they tend to forecast a reversal. Third, the bias in … the framework in which all market participants share the same forecast, to focus on the importance of heterogeneous …, affects the volume of trading in the market, and, in turn, the degree of volatility of the exchange rate. An example of how …

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 …

. exchange-rate volatility. B. The observed pattern of spot exchange-rate vs. forward exchange-rate volatility. Second, a widely … neglected reason for exchange-rate volatility, activist monetary policy, will be studied …

examined. Our forecasting equations of the exchange rate for the next X minutes (X=1, 5, 15, 30) show that coefficients are … significantly different from zero in both 5-min and 1-min forecast horizons, but the significance disappears in the 30-minute …

constrained counterparts to the VARs. The predictability of returns is related to asset pricing models by examining the volatility …

should have value as a forecast of near-term exchange-rate movements. Using a set of standard criteria, we show that … forecasting dollar appreciations or depreciations. U.S. interventions, however, were associated with more moderate dollar …

. 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 …