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 …

-of-sample forecasting performance. Finally, issues related to the adequateness of standard methods of evaluation of (linear and nonlinear …) exchange rate models are discussed with reference to different forecast accuracy criteria. …

central banks should not be overly concerned with short-run volatility of their national exchange rates, given the self …

explore this question by comparing long-run volatility trends in CEE currencies and the euro. We find that these trends are … euro. Spillovers of volatility across regional markets appear to have diminished over time, with the exception of the … Hungarian forint, which remains a source of volatility shocks to regional currencies. …

correcting for the volatility risk premium and errors-in-variable problems, using state-of-the-art techniques (Chernov 2001). It …. Moreover, implied volatilities generally anticipate the direction of volatility correctly, with a bias to overpredicting … volatility increases reflecting one-sided markets. …

Currency option implied volatility predicts more efficiently exchange rate volatility for the Polish zloty relative to … GARCH model shows a positive impact of the introduction of the Euro on exchange rate volatility for the Polish zloty …

, many types of instruments can be used:futures market,spot market, and forward market.However, the degree of volatility … monthly to daily observations on exchange rates. Thus the basic thrust of the paper is to analyse the forecasting accuracy of …

number of recent papers have addressed volatility predictability, some from the perspective of the usefulness of jumps in … forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …Many recent modelling advances in finance topics ranging from the pricing of volatility-based derivative products to …