includes duration functions to measure the time dependence of volatility as well as information asymmetry. In order to assess … results include that volatility does not increase with the duration between quote updates, and that longer quote durations …

-sector bonds have become increasingly integrated. Issuers and investors alike have come to regard the euro area bond market as a … single one. Primary and secondary bond markets have become increasingly integrated on a pan-European scale. Issuance of … public ones, and by the greater liquidity of secondary markets. Bond yields have converged dramatically in the transition to …

ongoing, inflation uncertainty seems to play a large role. Finally, while modern finance theory prices bonds and other assets …

volatility episodes? …

volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or … positive tail of the multivariate distribution. Using ‘extreme value theory’ to model the multivariate distribution tails, we … not for the positive tail. We also find that correlation is not related to market volatility per se but to the market …

We investigate the relation between global foreign exchange (FX) volatility risk and the cross-section of excess … FX volatility and thus deliver low returns in times of unexpected high volatility, when low interest rate currencies … provide a hedge by yielding positive returns. Our proxy for global FX volatility risk captures more than 90% of the cross …

investment funds traces out a mean-variance tradeoff for the growth rate of the economy. In particular, the volatility of these … and volatility. …

of noise traders alters the composition of the market and generates excess exchange rate volatility, since noise traders … both create and share the risk associated with exchange rate volatility. In such circumstances, monetary policy can be used … to lower exchange rate volatility without altering macroeconomic fundamentals. …

cyclical variable captures previously undocumented changes in the volatility of real housing price increases. These volatility …

The recent Eurozone debt crisis has witnessed sharp decouplings in cross-country bond yields without commensurate …-country differences in the volatility and persistence of fiscal revenue shocks combined with asymmetric information on country … risk; unobservability of fiscal shocks makes bond pricing responsive to market actions. When tax revenues are hit by common …