volatility of futures prices. The Granger-causality tests suggest that speculative investments usually follow � rather than … associated with lower volatility of futures returns, while that of swap dealers is sometimes followed by higher price variations. …

effect on the conditional volatility of these variables. The analysis spans a period of great financial and political …

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 …

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. …

Since the outbreak of the financial crisis in 2007, the level and volatility of Euribor � OIS differentials have …