to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury … than predicted by yield volatility alone. This is consistent with the existence of occasionally binding constraints on the …

We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns … using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample … implied volatility. We find that implied volatility is an informationally efficient but biased forecast of future realized …

realized volatility. The jump component has very different time series properties than the continuous component, and accounting … for this allows improved forecasting of future realized volatility. We investigate the potential forecasting role of … implied volatility backed out from option prices in the presence of these new separate realized volatility components. We show …

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …

volatility across different time scales. We call this property asymmetric vertical dependence. It is asymmetric in the sense that … a low volatility state (regime) at a long time horizon is most likely followed by low volatility states at shorter time … horizons. On the other hand, a high volatility state at long time horizons does not necessarily imply a high volatility state …

A time-changing volatility binomial tree to price European options is presented followed by an algorithm explaining how …

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …

asset pricing framework. The dependence between price movements and future volatility is introduced through a set of latent …