markets together via vector autoregressive processes in index returns, we construct "propagation values" to measure and trace …, on a daily basis, the relative importance of a market as a volatility creator within the network, where volatility is due …

arguably a superior proxy to credit risk than bond spreads. The variables considered include fixed-income as well as equity … markets data. We thus provide an international analysis of corporate credit risk, and some results on sovereign risk. Simple … bond spreads when pricing credit risk. …

In this paper the performance of locally risk-minimizing hedge strategies for European options in stochastic volatility … large class of diffusion-type stochastic volatility models, and they are as easy to implement as usual delta hedges. Our … simulation results on model risk show that the locally risk-minimizing hedges are robust with respect to uncertainty and even …

This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We … risk-neutral distributions as well as the term structure of volatility smiles and of variance risk premia. We find that the …

The Wishart autoregressive (WAR) process is a powerful tool to model multivariate stochastic volatility (MSV) with … correlation risk and derive closed-form solutions in various asset pricing models. However, making inferences of the WAR … stochastic volatility (WAR-SV) model is challenging because the latent volatility series does not have a closed-form transition …

This study investigates volatility spillovers to electric power from large exogenous shocks in the prices of gas, coal … different market conditions. We use a general VAR-BEKK model and the volatility impulse response function methodology to analyze … and evaluate the spillover effects. Special attention is paid to selecting an appropriate econometric volatility model …