The paper analyzes volatility spillover between exchange rate and stock market in “turbulent” and “calm”, otherwise … (regime 2) than in the bear market (regime 1) at 5958.12 days and 18.406 days, respectively. Further, analysis of volatility … leading to exchange rate volatility diminishes stock market returns by increasing investors’ risk perception, especially in …

component. We show that both the time series and the term structure of conditional volatility in general is downward sloping and … reputation. Another testable implication is that in price series without a policy reversal, implied volatility from option prices … will exceed actual volatility. Over time, and in the absence of a reversal, this wedge progressively disappears. This may …

component. We show that both the time series and the term structure of conditional volatility in general is downward sloping and … reputation. Another testable implication is that in price series without a policy reversal, implied volatility from option prices … will exceed actual volatility. Over time and in the absence of a reversal, this wedge progressively disappears. This may be …

. In order to test the model's implications on expected volatility we compute option prices under the generated hazard … volatility in general is downward sloping and its overall level falls steadily over time, although it may exhibit initially a … hump shape in the case of very low initial reputation. In time series without a policy reversal, implied volatility from …

by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over …