and a foreign market. We show that a firm's optimal policy favors financial controls for low volatility exchange rates and …

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 …

We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns … using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample … implied volatility. We find that implied volatility is an informationally efficient but biased forecast of future realized …