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Econometric modeling of exchange rate volatility and jumps

Erdemlioglu, Deniz; Laurent, Sébastien; Neely, … - 2012

Persistent link: https://www.econbiz.de/10009522869

Forecasting foreign exchange volatility : is implied volatility the best we can do?

Neely, Christopher J. (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001974118

Is small beautiful? : size effects of volatility spillovers for firm performance and exchange rates in tourism

Chang, Chia-Lin; Hsu, Hui-kuang; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009701646

Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets

Bardgett, Chris; Gourier, Elise; Leippold, Markus - 2016

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 …

Persistent link: https://www.econbiz.de/10011410916

Understanding dynamic conditional correlations between commodities futures markets

Behmiri, Niaz Bashiri; Manera, Matteo; Nicolini, Marcella - 2016

We estimate dynamic conditional correlations between 10 commodities futures returns in energy, metals and agriculture markets over the period 1998-2014 with a DCC-GARCH model. We look at the factors influencing those correlations, adopting a pooled mean group (PMG) estimator. Macroeconomic...

Persistent link: https://www.econbiz.de/10011451631