We present a cross-sectional volatility index (CSV) applied to an Asian market as an alternative to the VIX. One … may be applied to measure the volatility when no derivatives market exists. We formulate this volatility index based on … observable and model-free volatility measures. We provide a statistical argument to support that an equally weighted measure of …

We examine the relation between exchange rate variability and stock return volatility for U.S. multinational firms and … switch from fixed to floating exchange rates, we find a significant increase in volatility of monthly stock returns … corresponding to the period of increased exchange rate variability, even relative to the increase in stock return volatility for …

assets do not exhibit the U-shaped intraday volatility pattern that has been documented for US equities, even if only main … trading hours are considered. Intraday spikes in volatility are driven by the open or close of the market for the respective … volatility patterns, and US macroeconomic news account for a sizable fraction of jump-driven volatility. For some -- but not all …