This paper characterizes the volatility in the DM-dollar foreign exchange market using an annual sample of five … announcement effects, and the volatility persistence, or ARCH effects, familiar from lower frequency returns. The different … modeled, constitute an extremely valuable and vastly underutilized resource for better understanding the volatility dynamics …

intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional … alleviate microstructure frictions for realized volatility estimation. Size and power of the procedure are explored through … Monte Carlo methods. Our empirical findings support the jump-diffusive representation for Samp;P500 futures returns but …

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 investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term …-frequency data. We find that the yield curve fails to span yield volatility, as the systematic volatility factors are largely …-diffusive models is incapable of accommodating the observed yield volatility dynamics. An important implication is that the bond …

We exploit direct model-free measures of daily equity return volatility and correlation obtained from high …, solidify and extend existing characterizations of stock return volatility and correlation. We find that the unconditional … portfolio diversification when the market is most volatile. Our findings are broadly consistent with a latent volatility fact or …

This paper develops mew robust inference procedures for analyzing the intraday return volatility patterns that …, Lyons, and Melvin (1998) (ILM) argue that this deregulation resulted in a highly significant shift in the volatility pattern …

Recent empirical evidence suggests that the long-run dependence in financial market volatility is best characterized by … a slowly mean-reverting fractionally integrated process. At the same time, much shorter-lived volatility dependencies …-of-distributions hypothesis interpretation of the latent volatility process in rationalizing this behavior. By interpreting the overall volatility …

volatility estimators in finite samples. In our empirical volatility forecast application to S&P 500 index futures and individual … a family of integrated volatility estimators, labeled differenced-return volatility (DV) estimators, which provide …

ARCH and stochastic volatility models. We consider two major dollar exchange rates, and we show that returns standardized …