This paper revisits the fractional co-integrating relationship between ex-ante implied volatility and ex-post realized volatility. Previous studies on stock index options have found biases and inefficiencies in implied volatility as a forecast of future volatility. It is argued that the concept...

We provide evidence for a causal link between the US economy and the global financial cycle. Using intraday data, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, the VIX, and commodity prices all...

The current exchange rate policy is being argued about its vulnerability, especially at presence of an adverse external situation. In this context, it is important to check how market faces the credibility of such policy. This paper provides a way of measuring this credibility, using market's...