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 … common factor, which cannot be explained by indicators of economic activity, uncertainty, and risk aversion. …

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 …

This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues … the standard risk frameworks in CSF (Gaussian, Single Risk Factor Model; GSRFM), popular among market participants. If … implemented in a �static� fashion, GSRFM can substantially underprice risk at times of stress. I introduce a simple ï …

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 …

-neutral PDF is extracted from crosssections of bond option prices, after introducing a volatility risk premium function. The …This paper uses Garch models to estimate the objective and risk-neutral density functions of financial asset prices and …, by comparing their shapes, recover detailed information on economic agents' attitudes toward risk. It differs from recent …

is compared with the surveyed inflation expectations in order to obtain a rough measure of the inflation risk premium …