period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign …

exchange rate volatility. Results show that an increase of the number of cases and the deaths (both in logs) in the US has a … daily volatility of three exchange rates series with respect to American dollar. These results are useful for anyone needing … forecasts of exchange rate futures volatility …

model to explore the impact of COVID-19 cases on the volatility of the USD exchange rates against the local currencies of … investigation reveals a positive and significant effect of COVID-19 cases on the volatility of the USD exchange rate against BDT …, INR, and PKR. Additionally, this paper forecasts the daily volatility of the USD exchange rate concerning all three …

, we find that global market uncertainty - as proxied by VIX, the volatility index - was the main factor explaining the …

require to bear the risk of fluctuations in stock market volatility. We develop a model in which return volatility and … volatility risk-premia are stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate … realized volatility. We find that volatility risk-premia are strongly countercyclical, even more so than standard measures of …

require to bear the risk of fluctuations in stock market volatility. We develop a model in which stock volatility and … volatility risk-premia are stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate … realized volatility. We find that volatility risk-premia are strongly countercyclical, even more so than standard measures of …

Using a sample of the G20 countries, we examine the impact of COVID-19 on stock return and volatility connectedness … return and volatility connectedness increase across the phases of the COVID-19 pandemic which is more pronounced as the …

of the response depends on the type of news. Third, the implied volatility tends to increase, and the RND tends to become …