We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns … using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample … implied volatility. We find that implied volatility is an informationally efficient but biased forecast of future realized …

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 …

volatility. Since exchange rate volatility is not observed, we estimate it alongside the remaining quantities in the model. Our … increase in exchange rate volatility. Historical and forecast error variance decompositions indicate that monetary policy … shocks explain an appreciable amount of exchange rate movements and the corresponding volatility. …

We study the link between the volatility of exchange rates and interest rate differentials (IRD), motivated by the … volatility model, for which we detail an efficient estimation strategy based on Gaussian mixture sampling and a linearization of … the volatility process. We apply this approach to six currency pairs over the period from January 1999 to December 2017 …