opportunities, asset tangibility, non-debt tax shield, volatility and liquidity on capital structure. Employing the cross …

We investigate the relation between global foreign exchange (FX) volatility risk and the cross-section of excess … FX volatility and thus deliver low returns in times of unexpected high volatility, when low interest rate currencies … provide a hedge by yielding positive returns. Our proxy for global FX volatility risk captures more than 90% of the cross …

Volatility in exchange rates is decomposed into components associated with domestic and international concerns for six …

This study proposes a new approach to the estimation of daily volatility in financial markets. To do this we evaluate a … number of traditional estimators of daily volatility based upon intra-day data and propose a new estimator of daily … volatility based upon intra-day data which is both unbiased and efficient. …

the main source of income. Yet some in this debate have argued that, given the extreme volatility in agricultural …. Rather it is a direct consequence of the high degree of volatility in agricultural commodity markets. …

opportunities, asset tangibility, non-debt tax shield, volatility and liquidity on capital structure. Employing the cross …

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

We test for a change in the volatility of 215 US macroeconomic time series over the period 1960-1996. We find that … about 90\% of these series have experienced a break in volatility during this period. This result is robust to controlling … for instability in the mean and business cycle nonlinearities. Real variables have seen a reduction in volatility since …