associated with lower volatility of futures returns, while that of swap dealers is sometimes followed by higher price variations. … traders who deal mostly in commodity index investments (swap dealers) have gained importance since the mid-2000s. However … volatility of futures prices. The Granger-causality tests suggest that speculative investments usually follow � rather than …

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 …

For a class of long memory volatility models, we establish the asymptotic distribution theory of the Gaussian estimator … and the Lagrange multiplier test. Both the case of estimation of martingale difference and ARMA levels are considered. A …

This paper analyzes the determinants of credit default swap spread changes for a large sample of US non … spreads have become much more sensitive to the level of leverage while volatility has lost its importance. Using a principal …

of Madan and Milne to a multiple expiration setting, we present an estimation method for the risk-neutral probability at … a moving horizon of fixed length. With the exception of volatility, all model parameters can be estimated by linear …

equation of asset price changes and ii) volatility concepts different from the variance. The objective PDF of the asset price … is recovered from the estimation of a nonlinear Garch fitted to the historical path of the asset price. The risk …-neutral PDF is extracted from crosssections of bond option prices, after introducing a volatility risk premium function. The …