This paper evaluates the profitability of applying four different volatility forecasting models to the trading of … applied in this paper are: historical volatility, two ARCH models, and an autoregressive model for the volatility index. VDAX …. The ARCH models perform best in generating profits for market makers. Forecasts based on historical volatility also …

that a rise in conditional consumption growth volatility relative to the rest of the world reduces the foreign exchange … relation between the volatility in consumption growth and the level of real interest rates relative to the world interest rate … rates and macroeconomic volatility, on the one hand, and macroeconomic volatility and the net foreign asset position, on the …

substantially increases the return volatility of long-lived assets. Moreover, otherwise identical assets with different degrees of …

from options data. In a second step, jump tail distributions are approximated using the extreme value theory. Applying the …