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 …

The paper develops a novel realized stochastic volatility model of asset returns and realized volatility that … effects from returns to future volatility. This paper discusses asymptotic results of a Whittle likelihood estimator for the … approach to obtain volatility estimates and out-of-sample forecasts. Using high frequency data for three US financial assets …

, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage … and feedback effects in multifactor Wishart stochastic volatility for option pricing, option pricing with non …-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the …

, volatility spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the …

This paper examines the size effects of volatility spillovers for firm performance and exchange rates with asymmetry in …-AGARCH, in the volatility specification. Daily data from 1 July 2008 to 29 June 2012 for 999 firms are used, which covers the … Global Financial Crisis. The empirical findings indicate that there are size effects on volatility spillovers from the …

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 …

, there has been almost no research on China’s carbon price and volatility. This paper provides an introduction to China …

one of the world’s largest producers of carbon emissions. Several measures have been undertaken to address climate change …

prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …

vary according to whether they are in low or high volatility regimes. …