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. …

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 …

spreads have become much more sensitive to the level of leverage while volatility has lost its importance. Using a principal …

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 …-neutral PDF is extracted from crosssections of bond option prices, after introducing a volatility risk premium function. The …

short-term rate with stochastic volatility. Our estimation strategy is based both on moment conditions needed to guarantee … which standard ARCH models approximate only specific diffusion models (those in which the variance of volatility is … proportional to the square of volatility), our estimation strategy relies on ARCH models that approximate any CEV-diffusion model …

The paper contributes to the stochastic volatility literature by developing simulation schemes for the conditional … distributions of the price of long term bonds and their variability based on non-standard distributional assumptions and volatility …