"We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term … markets per se are incomplete and yield volatility risk cannot be hedged by taking positions solely in the Treasury bond … cross-section of fixed- maturity zero-coupon bonds ('realized yield volatility') through the use of high-frequency data. We …

This paper proposes an explanation of the shifts in the volatility of exchange rate returns that relies on standard … may lead agents to focus excessively on a subset of fundamental variables. As a result, exchange rate volatility is mainly … determined by the dynamics of this subset of fundamentals. As agents switch between models the nominal exchange rate volatility …