Can pegging reduce real as well as nominal, and multilateral as well as bilateral exchange rate volatility? We … volatility against the anchor currency increase steadily with regime flexibility. Real bilateral volatility against non …-anchor currencies and real effective exchange rate volatility are significantly higher under independent floats, but are otherwise …

Real effective exchange rate volatility is examined for 90 countries using monthly data from January 1990 to June 2006 …. Volatility decreases with openness to international trade and per capita GDP, and increases with inflation, particularly under a … horizontal peg or band, and with terms-of-trade volatility. The choice of exchange rate regime matters. After controlling for …

period ahead; in the Volatility treatment, we also elicit subjective confidence intervals of forecasts, which we take as a … measure of perceived volatility. The realized asset price is derived from a Walrasian market equilibrium equation with non …-linear feedback from individual forecasts. Our experimental markets exhibit high volatility, fat tails and other properties typical of …

corporate asset cash flows, volatility horizons and minimum variance hedge ratios to vary in response to oil price. We provide …

. Historical volatility estimators are found to have greater forecast accuracy than implied volatilities. Although implied … volatility is a biased estimator of realized volatility, regression tests show that it contains more information than historical … volatility. Also, a simple trading rule using historical volatility estimators is unable to exploit the forecast improvements …

measure of how much GARCH conditional volatility explains squared returns is proposed. The measure indicates that for a … typical index return volatility whose ARCH parameter is very small, the conditional volatility hardly explains squared returns. …

traders. As expected, abnormal returns and changes in own-firm permanent return volatility are negatively (but weakly) and …

trading volume, volatility and the quoted bid-ask spread in the market for FTSE-100 index futures. We document a number of … regularities in the pattern of daily returns and volatility of the cash index. We also document intraday patterns in the basis, i … that, while both volume and volatility exhibit a U-shaped pattern over the day, movements in the spread tend if anything to …

This paper explores the relationship between daily market volatility and the arrival of public information in four … volatility of US stocks, treasury bills, bonds and dollar were detected. However, the effects - in size and duration - vary by … news category and by financial market. It is demonstrated that most of the volatility persistence, as observed by GARCH …