Volatility is an indispensible component of 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, and hence is a key barometer of …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … financial economics and financial econometrics, specifically dynamic price integration in the global gold market, a conditional …

mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models … price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in …