-country demand for goods causes exchange rate volatility to rise as the exchange rate falls, giving the impression of a negatively …

sharing of risk. A currency's risk depends not only on its size or output volatility, as has been studied in previous models …, but on the volatility of demand for its goods by trade partners. How global risks are shared among investors determines …

-established linearization property under the large-volatility limit of the median, a universal white-noise approximation, and novel Machine …

more diffusive fashion. We construct a tractable multifactor, stochastic volatility term structure model which incorporates …

This paper focuses on the extraction of volatility of financial returns. The volatility process is modeled as a … the volatility is not observable, the logarithm of the daily high-low range is employed as its proxy. The estimation of … parameters and volatility extraction are performed using a modified version of the Kalman filter which takes into account the …

forecasting volatility. We outline the genesis of this approach from similar models of turbulent flows in statistical physics and …

dynamics adapts to the non-normal nature of financial data, which helps to robustify the volatility estimates. The new model … volatility forecasting of stock returns and exchange rates. …

In this paper we aim to measure actual volatility within a model-based framework using high-frequency data. In the … at smaller and smaller time intervals. High-frequency returns are used for the computation of realised volatility. Recent … theoretical results have shown that realised volatility is a consistent estimator of actual volatility but when it is subject to …