An efficient method is developed for pricing American options on combination stochastic volatility …/jump-diffusion processes when jump risk and volatility risk are systematic and nondiversifiable, thereby nesting two major option pricing … models. The parameters implicit in PHLX-traded Deutschemark options of the stochastic volatility/jump- diffusion model and …

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 …

This paper evaluates the forecasting accuracy of correlation derived from implied volatilities in dollar-mark, dollar-yen …, and mark-yen options from January 1989 to May 1995. As a forecast of realized correlation between the dollar-mark and … dollar-yen, implied correlation is compared against three alternative forecasts based on time series data: historical …

but it was neither constant nor stable over subsamples and that its volatility was considerably reduced after October 1982 …

Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …

A rapidly growing literature has documented important improvements in financial return volatility measurement and … return volatility. In an application to the DM/$ exchange rate, the S&P500 market index, and the 30-year U.S. Treasury bond … non-jump movements in a simple but sophisticated volatility forecasting model, we find that almost all of the …

Intraday movements in the yen/dollar rate are examined over the 1980-86 period using opening and closing quotes in the … and U.S. stock prices suggests that intraday yen/dollar rate movements do contain at least some relevant information …

Market impacts of Japanese macroeconomic announcements within minutes on the dollar/yen foreign exchange are analyzed …-term business survey conducted by Bank of Japan), GDP, industrial production (preliminary), PPI, CPI (Tokyo area), the unemployment … components have return impacts also have impacts on deals and volatility. The announcement itself, in addition to the magnitude …

constrained counterparts to the VARs. The predictability of returns is related to asset pricing models by examining the volatility …