This paper compares volatility forecasts for the RTS Index (the main index for the Russian stock market) generated by … alternative models, specifically option-implied volatility forecasts based on the Black-Scholes model, ARCH/GARCH-type model … information content). Various forecasting performance tests are carried out which suggest that both implied volatility and …

This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of … green bond returns and volatilities. On the whole, the evidence suggests weaker linkages, and thus a lower degree of …

curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis … on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to … be more informative than sell orders since they mostly lower volatility in the pre-crisis periods, while sell and post …