This paper employs a modified multivariate GARCH model to test for cross-country mean and volatility transmission among … higher in Latin America. There is evidence of significant leverage effects and volatility persistence and, in the cases of …

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 …

calculated. Therefore, in this paper, we review the literature on global risk, uncertainty, and volatility measures drawing on …

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 …

. Because these events may have been "priced into" exchange rates or increased these rates' volatility, connections between … nominal and real effective exchange rates, both in log changes and as a GARCH-based volatility measure, show whether regimes … exchange-rate returns and volatility do not match those of trade balances, and correlations between returns and trade balances …

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 …