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

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 …

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

This paper aims to select the best model or set of models for modelling volatility of the four most popular …, pricing of derivative securities etc. These could be improved by using instead the model specifications allowing for …

volatility, namely, seasonality and maturity effects for the pre-financialisation (1993-2003) and post-financialisation (2004 … futures' volatility before the financialisation period, open interest as a measure of liquidity has a negative effect after ….e. volatility of the contract increases as it nears to expiration since financialisation. This confirms the importance of accounting …

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 …