theoretically that volatility in fundamental variables such as the nominal interest rate that drive exchange rate volatility can … investment on exchange rate volatility. It is the first paper to provide empirical evidence that interest rate volatility may …

the exchange rate volatility, cyclicality and the FX risk premia in the data …

the mean and volatility of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on … turns out to be crucial to the model's ability to explain both equity volatility and option prices. We explore different …

examines the implications of stochastic volatility and jumps for option valuation. This example highlights the impact on option … amp;apos;smirksamp;apos; of the joint distribution of jumps in volatility and jumps in the underlying asset price, through …

We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude …-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic volatility in … stochastic volatility. The model features correlations between innovations to futures prices and volatility, quasi …

We use a novel pricing model to filter times series of diffusive volatility and jump intensity from Samp;P 500 index … about twice the premium required to compensate the same investor for the realized volatility, 5.8 percent. Moreover, the ex …

-series properties are also affected. For example, hires exhibit more volatility than separations in the published statistics, but the …

data are consistent with the view that employment in European industries, at least France and Germany, is much less …