affected in mean and volatility. The empirical results indicate: (i) a direct negative impact on GBP and JPY and no effect of … their volatility around the QE announcements of the corresponding central banks, (ii) a delayed devaluation of EUR and an … increase of its volatility before and after the ECB's announcements. Furthermore, the behavior of dynamic conditional …

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign …

In this paper, a survey on theoretically expected and empirically proved impacts of exchange rate volatility is given …. With regard to the West German unemployment, the effects of volatility are empirically analyzed using three different … volatility measures and four country groups. In autoregressive models, a significant disturbing impact of volatility can be found …

empirical fact that of the statistical properties of most macroeconomic variables, only the volatility of the real and nominal …

volatility (RV) of ten global stock market indices in the period from January 2000 to December 2021. We train models using a …

We use realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate …. Realized volatility is a technical innovation that allows specifying a system of equations for returns, realized volatility … increase in volatility associated with interventions. During the period 1999 through 2004, the estimations are consistent with …

Bank of Japan (BoJ) and exchange rate volatility. We use official intervention data for the period 1993 - 2000 that were … released only recently by the BoJ and find that interventions of the BoJ increased the volatility of the $/yen exchange rate …