the U.S dollar numeraire, amplified in states of high anticipated volatility, low liquidity, and that arbitrageurs can …

The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated … volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads … estimate of the effect of the volatility on the spreads. Although the spread-volatility relation implied by the option model of …

I test for the presence of asymmetric volatility in Japanese Yen cross-rate futures markets. My investigation is based … on a variant of the heterogeneous autoregressive volatility model, using daily realized variance and return series from … 2004 through 2009. I find that appreciation against the Japanese Yen (JPY) leads to significantly greater volatility for …