We argue that a transaction tax is likely to amplify, not dampen, volatility in the foreign exchange markets. Our … trades disproportionately, leading to increased volatility. Empirical support for this prediction is found by investigating … the effect of transaction costs on the volatility of DEM/USD and JPY/USD returns. High-frequency data are used and an …

channels of effectiveness. Respondents disagreed with predominant views on intervention and volatility and common arguments …

We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables … in the information set, including implied volatility backed out from option prices. Realized volatility is separated into … its continuous and jump components, and the heterogeneous autoregressive (HAR) model is applied with implied volatility as …

transition from the former to the latter. With respect to the volatility transmission from interest rates to exchange rates and … ; Multivariate volatility …

evolves over time and that it is different under different market conditions defined by exchange rate volatility. Further, we …

explain the role of trading volume on exchange rate volatility (Mixture Distribution Hypothesis), taking into account non … and the volume are high, the relationship between trading volume and volatility tends to increase. Linking this result … volatility, even in turbulent periods. This paper provides the first empirical corroboration of this proposition and seems to …

In this paper we use three euro exchange rates to test for the presence of volatility spillovers, common volatility … components and time-varying correlations using the multivariate-GARCH model and the common volatility methodology approach … proposed by Engle and Kozicki (1993). Our results suggest that the three currencies exhibit some degree of volatility spillover …