This paper examines the cross-dynamics of volatility term structures implied by foreign exchange options. The data used in the empirical analysis consist of daily observations of implied volatilities for OTC options on the euro, Japanese yen, British pound, Swiss franc, and Canadian dollar,...

This study examines how the U.S. macroeconomic news releases affect uncertainty in domestic and foreign stock exchanges. For that purpose, the behavior of the implied volatilities from the U.S. and Finnish markets is investigated around the employment, producer price index (PPI) and consumer...

This study examines whether the United States (US) macroeconomic news announcements affect volatilities of emerging stock markets in the Asia-Pacific region. For this purpose, the behavior of GARCH volatilities of nine major emerging markets (China, India, Indonesia, Malaysia, Pakistan,...