mean and volatility. The endogenous structural breakpoint unit root test, the autoregressive distributed lag (ARDL) model …, and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model … reached a peak in 2008. We also find that that the volatility of global fertilizer prices and crude oil price from March to …

The main purpose of this paper is to estimate the volatility in global fertilizer prices. The endogenous structural … breakpoint unit root test and alternative volatility models, including the generalized autoregressive conditional … volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in other periods, and that …

Modelling, monitoring and forecasting volatility are indispensible to sensible portfolio risk management. The … volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps …, options and futures. The most popular volatility index is VIX, which is a key measure of market expectations of volatility …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …