their associated volatility. Inclusion of the exchange rate allows approximate daily price effects to be captured. The … tourist arrivals, test whether alternative short and long run estimates of conditional volatility are sensitive to the … approximate long memory in the conditional mean, examine asymmetry and leverage in volatility, and examine the effects of temporal …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform …, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model: evidence …, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating and …

Modelling, monitoring and forecasting volatility are indispensible to 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 …

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 …

mean and volatility. The endogenous structural breakpoint unit root test, the autoregressive distributed lag (ARDL) model …, and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model … reached a peak in 2008. We also find that that the volatility of global fertilizer prices and crude oil price from March to …

realized volatility models, not confusing thresholds, asymmetry and leverage, not underestimating the complexity of … multivariate volatility models, and thinking carefully about forecasting models and expertise. …

The main purpose of this paper is to estimate the volatility in global fertilizer prices. The endogenous structural … breakpoint unit root test and alternative volatility models, including the generalized autoregressive conditional … volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in other periods, and that …

This paper examines volatility, volatility spillovers, optimal portfolio weights and hedging for systems that include … the significant direct and indirect past shock and volatility effects on future volatility between the commodities in all …