volatility recorded on currency options markets in Poland, Hungary and South Africa. The models are based on the observed … correlation between daily changes of spot rates and daily changes of volatility levels quoted by interbank brokers.In order to … define both short term and long term influence of spot rate on market volatility, ECM models were calibrated. Models show …

I test for the presence of asymmetric volatility in Japanese Yen 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 Japanese Yen (JPY) leads to significantly greater volatility for …

Market participants' forecasts of future exchange rate volatility can be recovered from option contracts on foreign … currencies. Such implicit volatility forecasts for four currencies are used to test rational expectations jointly with the … version of market rationality: the market can correctly forecast the direction of the change in exchange rate volatility. This …

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 …