This study investigates the impact of new information on the volatility of exchange rates. The impact of scheduled US … and European macroeconomic news on the volatility of USD/EUR 5-minute returns was tested by using the Flexible Fourier … Form method. The results were consistent with earlier studies. Macroeconomic news increased volatility significantly, and …

Reduced exchange rate volatility and higher and less heterogeneous quality of institutional rules and macroeconomic …

This paper investigates the dependence of average stock market volatility on the timescale or on the time interval used …, refers to the elasticity of the volatility measure with respect to the timescale. This paper studies, in particular, whether … also explores possible underlying reasons for the observed behaviour of volatility in terms of heterogeneity of stock …

rate movements, and their volatility, than do ECB verbal pronouncements. …

Filtering intraday seasonality in volatility is crucial for using high frequency data in econometric analysis. This … paper studies the effects of filtering on statistical inference concerning the impact of news on exchange rate volatility …

The evidence of volatility-price dependence observed in previous works (Karakatsani and Bunn 2004; Bottazzi, Sapio and … Secchi 2005; Simonsen 2005) suggests that there is more to volatility than simply spikes. Volatility is found to be … NordPool. Prompted by these observations, this paper aims to understand whether volatility-price patterns can be mapped into …

leverage, volatility and the riskless interest rate. We find that estimated coefficients for these variables are consistent … premia is approximately 23%. Volatility and leverage by themselves also have substantial explanatory power for credit default … data. We therefore conclude that leverage, volatility and the riskfree rate are important determinants of credit default …

distinguish between the stability of a stochastic dynamic system and the volatility of a variable generated by this system. It is …