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 …

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 …

-country differences in the volatility and persistence of fiscal revenue shocks combined with asymmetric information on country … persistent, low volatility countries adjust spending while others resort to borrowing. This difference signals a relative …

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 …

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 …