volatility smile in cap prices. We find that Black (1976) implied volatilities exhibit an asymmetric smile (sometimes called a … sneer) with a stronger skew for in-the-money caps than out-of-the-money caps. The volatility smile is time varying and is … volatility or upward jumps. However, this model still has a bias for short- and medium-term caps. In addition, it appears that …

towards volatility features of the time series. For the older electricity market of Nord Pool in Norway, it is found that a …

unconditional volatility measure based on the same data. …

Previous analytical models focused on the effects of the real exchange rate (RER) and the RER volatility on Chinese … dollar because the negative impacts of the revaluation, and its accompanying effects on the RER volatility, if any, on the …

is shown that the nonstationarity of volatility in the regression errors may induce spuriousness of the underlying … nonstationary volatility is present in the errors. Mild nonstationary volatilities do not render the underlying regression spurious …

This paper investigates the effect of exchange rate volatility on US-UK bilateral trade flows. As part of econometric …

Volatility models have been playing an important role in economics and finance. Using a multivariate generalized … spectral approach, we propose a new class of generally applicable omnibus tests for univariate and multivariate volatility … models. Both GARCH models and stochastic volatility models are covered. Our tests have a convenient asymptotic null N(0 …