on the specification of the volatility structure of forward rates. Thus, if any errors exist on the observed yield curve … affine example using eight years of data on U.S. dollar LIBOR/swap rates and interest rate caps. The model performs well in … the cap implied volatility. Incorporating the three residual factors improves the explained variance in cap implied …

and numerically show that the risk-neutral expected value of the return variance, also known as the variance swap rate, is … between the realized variance and this synthetic variance swap rate quantifies the variance risk premium. Using a large … options data set, we synthesize variance swap rates and investigate the historical behavior of variance risk premia on five …

approach is applied to estimate the volatility structure implied by futures contracts traded on the Chicago Mercantile Exchange. …

According to the Mixture of Distributions Hypothesis (MDH), returns volatility and trading volume are driven by a …) volatility and trading volume changes in different financial markets. An implication is that returns volatility in one stock … market should show positive and contemporaneous correlation with returns volatility in another stock market. This paper tests …

Volatility of financial markets is an important topic for academics, policy makers and market participants. In this … these specifications. Then assuming that the squared returns are the benchmark estimate for actual volatility of the day, I … compare all of the models with respect to how much efficient they are to mimic the realized volatility. At the same time I …