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 …

cyclical pattern. Over that cycle, world asset prices, leverage, and capital flows move in concert with global growth …

" states - following market declines and when market volatility is high - and are contemporaneous with market rebounds. We show …

relative to the rest of the world, and shifts in investor demand for U.S. financial assets contributed approximately equally to …

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 …