. 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 …

Market participants' forecasts of future exchange rate volatility can be recovered from option contracts on foreign … currencies. Such implicit volatility forecasts for four currencies are used to test rational expectations jointly with the … version of market rationality: the market can correctly forecast the direction of the change in exchange rate volatility. This …

volatility rises and as export demand shocks become more correlated. These theoretical results are confirmed by empirical …

A gravity model is used to assess the separate effects of exchange rate volatility and currency unions on international … exchange rate volatility, even after controlling for a host of features, including the endogenous nature of the exchange rate …

. exchange-rate volatility. B. The observed pattern of spot exchange-rate vs. forward exchange-rate volatility. Second, a widely … neglected reason for exchange-rate volatility, activist monetary policy, will be studied …

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 … and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic …

This paper addresses the puzzle of regime-dependent volatility in foreign exchange. We extend the literature in two … induce volatility under flexible rates because they have portfolio-balance effects on price, whereas under fixed rates the …

produces two striking results: (i) Much of the observed short-term volatility in exchange rates comes from sampling the …