Volatility is an indispensible component of 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, and hence is a key barometer of …

This paper analyzes the relationship between the volatility of corporate bond returns and standard financial and … volatility that distinguishes the short-term dynamics from the long-run component of volatility. Both the in-sample and out …

mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models … price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in …

microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility …. Even bias-corrected and consistent realized volatility (RV) estimates of IV can contain residual microstructure noise and … other measurement errors. Such noise is called “realized volatility error”. As such errors are ignored, we need to take …

Taiwan, and their associated volatility. Inclusion of the exchange rate and its volatility captures approximate daily and … weekly price and price volatility effects on world, US and Japanese tourist arrivals to Taiwan. The Heterogeneous … of conditional volatility are sensitive to the long memory in the conditional mean, to examine asymmetry and leverage in …