Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be …

also accommodate both unspanned macro risks and unspanned stochastic volatility in the term structure literature …

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 …

based on the superior volatility forecast for analyzing historical data. We extend the current litearure by measuring the … volatility of an underlying asset in the last predefined period and comparing the actual volatility in currency with historical … volatility in currency to make predictions of implied volatility. We calculated stock price volatility through an optimal holding …

along with the specification of (a) the initial density, and (b) the volatility structure of the density. The volatility …