particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …

The volatility information content of stock options for individual firms is measured using option prices for 149 U ….S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock … returns, at-the-money implied volatilities and model-free volatility expectations for every firm. For one-day-ahead estimation …

​This paper studies the impact of uncertainty on the investors' reactions to news on macroeconomic statistics. With … daily data on realized volatility and trading volume, we show that the investors in the US Treasury bond futures market … react significantly stronger to US macroeconomic news in times of low macroeconomic, financial and political uncertainty. We …

is consistent with an asymmetric overreaction of traders in Asia to news from the US market. Extensions from the baseline …