integrated volatility of an asset price based on data sampled at frequencies high enough for that noise to be a dominant … estimators to the standard realized volatility …

volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross … regarding improved volatility estimation methods …

with other dealers. Some have linked this volume to concerns of excessive volatility in the market. Tobin's proposal to … address this volatility with a small tax on all foreign exchange transactions has not received the serious attention it … volatility than most economists believe. Calculations show that the tax, unlike some forms of capital control, would fall far …

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 …

a regime-switching model and find evidence for the existence of a high volatility regime, in which returns are more …

Recent empirical evidence suggests that the long-run dependence in financial market volatility is best characterized by … a slowly mean-reverting fractionally integrated process. At the same time, much shorter-lived volatility dependencies …-of-distributions hypothesis interpretation of the latent volatility process in rationalizing this behavior. By interpreting the overall volatility …