producer currency invoicing by eurozone countries is primarily caused by a drop in inflation volatility and can only to a small …

volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …

, we implement the mixture of log-normals model and a volatility-smoothing method. We discuss the time series behaviour of … second main observation is a significant spillover of volatility, as the implied volatility and kurtosis of the DAX RND are … mostly driven by the volatility of US stock prices. …

future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval … option prices. We find that the OTC implied volatilities explain a much larger share of the variation in realized volatility …

filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements … (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction …

In this paper we propose a new methodology to estimate the volatility of interest rates in the euro area money market … liquidity risk. The measure is constructed as the implied instantaneous volatility of a consol bond that would be priced on the … historical volatility, in the sense that dividing the consol excess returns by this volatility removes nearly entirely excess of …