Purpose–The purpose of this study is to discover and model the asymmetry in the price volatility of financial markets …/methodology/approach–The volatility of the financial market price is usually defined with the standard deviation or variance of the price or price returns …. This standard definition of volatility is split into the upper part and the lower one, which are termed here as Yang …

We investigate the role of jumps in transmitting volatility between foreign exchange markets (Engle, Ito, and Lin, 1990 … different implications for the impact of jumps on exchange rate volatility transmission. Specifically, isolated and successive … jumps have opposite predictions for future volatility. Although the realized volatility literature finds that heat wave …

Indeed, the specification of equilibrium in the world economy depends on the exchange rate regime and thus, the early … foreign exchange markets. However, the world has known several exchange rate systems beginning with the fixed-gold standard … exchange was deregulated, independent traders finally had access to the biggest trading market of the world; and these forex …

imprecise estimation of a well-studied regression relating spot and forward exchange rates. …

strategies. When we do so, some questions are resolved: negative skewness is purged, and market volatility (VIX) is uncorrelated …