model to explore the impact of COVID-19 cases on the volatility of the USD exchange rates against the local currencies of … investigation reveals a positive and significant effect of COVID-19 cases on the volatility of the USD exchange rate against BDT …, INR, and PKR. Additionally, this paper forecasts the daily volatility of the USD exchange rate concerning all three …

I test for the presence of asymmetric volatility in British Pound cross-rate futures markets. My investigation is based … on a variant of the heterogeneous autoregressive volatility model, using daily realized variance and return series from … 2004 through 2009. I find that appreciation against the British Pound leads to significantly less volatility for the CHF …

We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full … interest rate by a stochastic volatility displaced-diffusion Libor Market Model [AA02], which can model an interest rate smile …

and volatility spillovers between spot and futures prices of four major international currencies traded on two trading … sample currencies. The volatility spillover results indicate the presence of short and long-run volatility spillovers between … futures and spot markets. Volatility spillovers are stronger from futures to spot in the short-run while inverse is the case …

Interest rate volatility, as implied by swaptions prices, rose in all major economic areas between 2001 and early 2004 … structure has flattened. The rise and fall of US dollar implied volatility reflected changes both in expectations of realized … volatility and in the compensation for volatility risk …