components have return impacts also have impacts on deals and volatility. The announcement itself, in addition to the magnitude … of surprise, is found to increase the deals and price volatility in the immediately after the announcement. In addition …, some other items have no return impacts but deals and volatility impacts. These facts are consistent with a view that …

Statistical analyses of forward interest rate behavior provide evidence that these rates share a common volatility. We …

The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated … volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads … estimate of the effect of the volatility on the spreads. Although the spread-volatility relation implied by the option model of …

This study examines the impact of introduction of currency futures on spot market volatility in India and studies … whether introduction of currency futures has significant impact on volatility of spot prices in India …

We show how bad and good volatility propagate through forex markets, i.e., we provide evidence for asymmetric … volatility connectedness on forex markets. Using high-frequency, intra-day data of the most actively traded currencies over 2007 … -- 2015 we document the dominating asymmetries in spillovers that are due to bad rather than good volatility. We also show …

exchange rate volatility …