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

Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …

We explore the macro/finance interface in the context of equity markets. In particular, using half a century of …

A rapidly growing literature has documented important improvements in volatility measurement and forecasting … provides a practical framework for non-parametrically measuring the jump component in realized volatility measurements … an easy-to-implement reduced form model for realized volatility results in highly significant jump coefficient estimates …

market risk and macroeconomic fundamentals, focusing primarily on links among equity return volatilities, real growth, and …