certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility … without contaminating volatility estimates; bond returns may be sampled as frequently as once every 2 to 3 minutes on days … higher than those often recommended in the empirical literature on realized volatility in equity markets. The higher sampling …

volatility and a low volatility regime, respectively. Uncertainty arises during the transition between regimes in the late 1990s …

also increased its volatility. Downgrading increased the yields of French, Italian and Spanish bonds but lowered the German …

We study a segmented-markets setting in which self-fulfilling volatility can arise. The only requirements are (i) asset … valuation ratios stationary (e.g., cash flow growth rises when valuations rise). We prove that when self-fulfilling volatility … susceptible to self-fulfilling fluctuations. The tight theoretical connection between price volatility and arbitrage is detectable …

This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … points. Our results reveal presence of volatility in the three currencies and equally indicate that most of the asymmetric … models rejected the existence of a leverage effect except for models with volatility break. Evaluating the models through …

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …

exchange rate volatility. Eventually, the model offers a solution to the exchange rate disconnection puzzle. …