liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …

floating exchange rate system in February 2001. In this paper, an asymmetric stochastic volatility model of the foreign … exchange return and its volatility. Particularly, an increase in the return at time t results in an increase in volatility at … decrease in volatility at time t + 1. The results imply that a central bank with a volatility smoothing policy would be biased …

Using positive semidefinite supOU (superposition of Ornstein-Uhlenbeck type) processes to describe the volatility, we … introduce a multivariate stochastic volatility model for financial data which is capable of modelling long range dependence … effects. The finiteness of moments and the second order structure of the volatility, the log returns, as well as their …

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 …

realized volatility. The jump component has very different time series properties than the continuous component, and accounting … for this allows improved forecasting of future realized volatility. We investigate the potential forecasting role of … implied volatility backed out from option prices in the presence of these new separate realized volatility components. We show …

We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly …, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows …

A rapidly growing literature has documented important improvements in volatility measurement and forecasting … provides a practical framework for non-parametrically measuring the jump component in realized volatility measurements … an easy-to-implement reduced form model for realized volatility results in highly significant jump coefficient estimates …

volatility regimes. Results indicate that ignoring the complex and dynamic dependence structure in favour of certain model …