implications for exchange rates, volatility, returns to currency investing, and transaction costs. This blow-by-blowʺ narrative is …

obtained from discrete time models by comparing them with high-frequency ex post estimates (e.g. realised volatility) based on … illustration provides an example of where an explanatory model outperforms realised volatility ex post. -- Financial variability … ; financial volatility ; forecasting ; explanatory modelling ; exchange rates …

This paper explores the influence of the foreign exchange rates variation on the returns and volatility of the stock … influenced not only the stock returns but also their volatility. However, between March 2010 and December 2012 the impact of the … exchange rates variation on the returns and volatility of the stock prices depended on the factors such as the foreign capitals …

The key objective of this study is to investigate the return and volatility spillover effects among stock market … trivariate VAR BEKK GARCH (1,1) model, the study finds that there are significant return and volatility spillover effects between … and the US stock market to the Korean stock market, and the volatility spillover effect from the Japanese stock market to …

We find a robust negative effect of exchange rate volatility on S&P500 company returns. The Consumer Discretionary and … the Consumer Staple sectors have more significant negative exposure to exchange rate volatility than the other sectors … thus supporting the hypothesis that exchange rate volatility affects stock returns through the channel of international …

, namely: sensitivity of stock returns to exchange rate changes; sensitivity of volatility of stock returns to volatility of … its asymmetric conditional volatility of exchange rate exposure. In addition, returns in many sectors are correlated with …

This article identifies the best models for forecasting the volatility of daily exchange returns of developing …