forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … ARCH or stochastic volatility models, which often perform poorly at intraday frequencies. Use of realized volatility … variation, we formally develop the links between the conditional covariancematrix and the concept of realized volatility. Next …

central banks in the absence of any formal arrangements among their governments to limit exchange rate volatility. The … advocates of the proposals for change have made their assessment of the global costs of exchange rate volatility and (their …

daily exchange rate volatility and correlation, covering an entire decade. In addition to being model-free, our estimates …-inducing volatility transformation, high contemporaneous correlation across volatilities, high correlation between correlation and …

. In addition to standard Wald tests, we formulate Lagrange Multiplier and Distance Metric tests which require estimation … under the non-linear constraints of the null hypotheses. Estimation under the null is achieved by iterating on approximate …