findings from extreme value theory. Kurtosis exists on fewer dates and for fewer series. There is little evidence at the weekly … surprise and that there is a certain persistence in moments beyond volatility. For exchange-rate and stock-market data cross …-sectionally and at daily frequency we also document co-variability of moments beyond volatility …

fnancial institutions. We show that the 10-year Treasury yield's forward-looking volatility, a VIX-style measure that is a … volatility of crude oil prices over the near term. Using monthly data from 2003 to 2020, we document that higher implied … volatility in the 10-year U.S. Treasury derivatives market predicts declining oil prices and higher forward-looking volatility in …

This paper investigates US Treasury market volatility and develops new ways of dealing with the underlying interest … rate volatility risk. We adopt an innovative approach which is based on a class of model-free interest rate volatility (VXI …) indices we derive from options traded on the CBOE. The empirical analysis indicates substantial interest rate volatility risk …

"We propose a new model of exchange rates, which yields a theory of the forward premium puzzle. Our explanation … values for the volatility of the exchange rate, the forward premium puzzle regression coefficients, and near-random walk …

We propose a new model of exchange rates, which yields a theory of the forward premium puzzle. Our explanation combines … values for the volatility of the exchange rate, the forward premium puzzle regression coefficients, and near-random walk …

We propose a new model of exchange rates, which yields a theory of the forward premium puzzle. Our explanation combines … values for the volatility of the exchange rate, the forward premium puzzle regression coefficients, and near-random walk …