correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform …, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model: evidence …, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating and …

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 …

This paper examines volatility and correlation dynamics in price returns of gold, silver, platinum and palladium, and …

penalised through higher capital charges. This paper investigates the performance of five popular volatility models that can be …

some forms of the volatility an approach based on re-calibration may lead to a large uncertainty in estimated swap vega, as … the instantaneous volatility structure may be distorted by re-calibration. This does not happen in the case of constant … swap rate volatility. We then derive an alternative approach, not based on re-calibration, by comparison with the swap …

Carlo methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed …

and realized volatility; (2) symmetry, asymmetry and leverage; (3) dynamic correlations and dynamic covariances; (4 …

methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed disturbance …