"If there is no priced risk--including volatility risk--associated with hedging an option, then expected delta hedging … hypothesis that delta hedging errors reflect rational pricing; foreign exchange volatility and stock market volatility predict … them. Moreover, foreign exchange volatility also predicts excess stock market returns, indicating that foreign exchange …

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 variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 …

This paper studies volatility spillovers in credit default swaps (CDS) between the corporate sectors and Latin American …

volatility to estimate the changing spillover of global oil shocks into the Maltese economy during the period that goes from …

volatility transmission from Brent Oil, UK Natural Gas, Rotterdam Coal, Gold, Silver, Copper, and EuroStoxx600 future prices to … models, and Time-Varying parameter Vector Auto Regressive models with Stochastic Volatility with the use of a comprehensive … markets significantly influencing volatility in EUA prices. The time-varying spillover effect is most pronounced with a one …