the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

monetary policy shocks. This result is puzzling. Economic theory suggests that the overshooting should occur immediately after …

Market analysts and central banks often use the implied volatility of FX options as an indicator of expected exchange … deviate the value of implied volatility from the exchange rate variability expected by the market. These biasing factors are … one month. However, implied volatility provides a biased estimate, and does not encompass the information included in …

evolves over time and that it is different under different market conditions defined by exchange rate volatility. Further, we …

Chartanalyse beruhende Regeln dann bewährt haben, wenn diese Zentralbanken am Devisenmarkt intervenierten. Ein ähnlicher …

This paper examines the degree of persistence in the volatility of financial time series using a Long Memory Stochastic … Volatility (LMSV) model. Specifically, it employs a Gaussian semiparametric (or local Whittle) estimator of the memory parameter … volatility has a component of long- memory behaviour, the order of integration ranging between 0.3 and 0.5, the series being …

reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow …

Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model … is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior …