general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …

We estimate a multivariate unobserved components-stochastic volatility model to explain the dynamics of a panel of six …

We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six …

This study investigates the relationship between exchange rate volatility and cur-rency substitution in Nigeria, using … addition, there is empirical supportfor a positive relationship between exchange rate volatility and currency substitu … incontaining exchange rate volatility and inflation as a way of curbing the spate ofcurrency substitution in the country. …

We estimate a multivariate unobserved components-stochastic volatility model to explain the dynamics of a panel of six …

. In multi-frequency finance, various phenomena have been observed, such as shocks, crashes, volatility clustering …

This paper investigates how to improve prediction accuracy of stock realized volatility using a large set of predictors … realized volatility out-of-sample prediction performance relative to several extant forecast combinations. This result is … existence of a strongly powerful volatility predictor affects this change …