determinants are variance risk premia, implied volatility and the riskless interest rate. We find that estimated coefficients for … power for the differences in the premia is approximately 64%. Implied Volatility and PRV by themselves also have substantial … amount of the variation in the data. We therefore conclude that variance risk premia, volatility and the risk free rate are …

High frequency data are often used to construct proxies for the daily volatility in discrete time volatility models … features of the approach are (1) a simple continuous time extension of discrete time volatility models and (2) an abstract … definition of volatility proxy. The theory is applied to eighteen years worth of S&P 500 index data. It is used to construct a …

intradaily measures of volatility. The convenience yield stems from differences in spot and futures prices, and can explain why … price levels, moving averages and carbon futures realized volatility measures as exogenous regressors. These results are of …

issue by characterizing the conditional and unconditional distributions of the realized volatility for the 2008 futures … volatility measures from naive, kernel-based and subsampling estimators are used to obtain inferences about the distributional … and dynamic properties of the ECX emissions futures volatility. The distribution of the daily realized volatility in …

return volatility to the heterogeneity of the investors' expectations about the level of the future volatility. Based on a … heterogeneity parameters and the auto-covariance/auto-correlation functions of the realized volatility. We report different … and justify the fact that the volatility exhibits significantly longer memory during the phases of speculative bubble than …