volatility of futures prices. The Granger-causality tests suggest that speculative investments usually follow � rather than … precede - variations in futures returns. Employing a GARCH model, we find that the activity of money managers tends to be … associated with lower volatility of futures returns, while that of swap dealers is sometimes followed by higher price variations. …

Among the many controversial variables in finance, risk premia stand out for their lack of observability. Measuring … premia as the difference between realized returns on risky and risk-free assets has not led to unanimous conclusions about … are influenced by the ex-ante values of the risk premia and ex-post returns are, if any, rough approximations of these …

-making approach, in the communication strategy and in the operational framework of a central bank. Through a GARCH specification we … show that the US and the euro area displayed a limited but significant spillover of volatility from money market to longer … empirical evidence to show that the transmission of overnight volatility along the yield curve had entirely vanished. …

between loans and risk-free assets when uncertainty on macroeconomic conditions increases. The econometric results confirm …

In this paper we study the effect of contemporaneous aggregation of heterogeneous GARCH processes as the cross … assumptions on the form and degree of heterogeneity of the micro GARCH processes. Implications on the memory and on modelling …

point in time, the parameters of the model are estimated by minimizing the sum of squared implied volatility errors, and … their informational content is compared with the widely used Black and Scholes implied volatility, calculated on at … periods of high variability of asset prices the jump-diffusion approach may help to disentangle the cases in which volatility …