This paper addresses the central open issue in exchange rate economics: the link between exchange rate volatility and … economic fundamentals. In the framework of a multivariate volatility model that allows for volatility spillover, we develop a … foreign exchange volatility. We show that news announcement effects include two components; a direct and an indirect effect …

Recent empirical evidence suggests that the long-run dependence in financial market volatility is best characterized by … a slowly mean-reverting fractionally integrated process. At the same time, much shorter-lived volatility dependencies …-of-distributions hypothesis interpretation of the latent volatility process in rationalizing this behavior. By interpreting the overall volatility …