. Because these events may have been "priced into" exchange rates or increased these rates' volatility, connections between … nominal and real effective exchange rates, both in log changes and as a GARCH-based volatility measure, show whether regimes … exchange-rate returns and volatility do not match those of trade balances, and correlations between returns and trade balances …

targets on public companies' stock price returns and volatility. We find no evidence that committing or setting a target … yields higher returns but contributes to a reduction in price volatility, albeit the impact is short-lived. In view of these …

Range-based volatility estimators are analyzed in both daily and intraday sampling frequency and are also compared to … the realized volatility estimator. The family of realized range-based estimators is extended as three range …-based estimators are also compared in terms of the proper-ties of the jump components of volatility. Moreover, the relevanteffects of …

autoregression, we derive return and volatility spillover indices over the rolling sub-sample windows. We show that there is … substantial difference between the behavior of the East Asian return and volatility spillover indices over time. While the return … spillover index reveals increased integration among the East Asian equity markets, the volatility spillover index experiences …

more foreign assets, as predicted by the theory. Despite the positive effects of beta, a country's idiosyncratic volatility …, but also future consumption growth. High-volatility countries have worse net foreign asset positions, suggesting that …

We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables … in the information set, including implied volatility backed out from option prices. Realized volatility is separated into … its continuous and jump components, and the heterogeneous autoregressive (HAR) model is applied with implied volatility as …

autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term … additional determinants of future excess returns. Finally, we illustrate that the yield and volatility factors are closely con … ; yield curve risk ; stochastic volatility ; factor models ; macroeconomic fundamentals …

We study the relation between realized and implied volatility in the bond market. Realized volatility is constructed … from high-frequency (5-minute) returns on 30 year Treasury bond futures. Implied volatility is backed out from prices of … associated bond options. Recent nonparametric statistical techniques are used to separate realized volatility into its continuous …