Increases in market volatility of asset prices have been observed and analysed in recent years and their cause has …. The results clearly support the observed increasing volatility phenomenon and provide a quantitative explanation for it. …

The volatility estimation is a crucial problem for pricing derivatives. The traditional implied volatility approach … volatility ?is endogenous and depends on the change in the firm’s financial leverage. These authors give an analytic … volatility of the return on the firm’s asset are constant. In this work, we will generalize this result by allowing these …

investigate the impact of index futures trading on the volatility of the spot market in China. Our three main findings are as … follows: (1) the launch of index futures does not decrease the volatility of the spot market; (2) there is a decrease in …

The aim of this work is to investigate the impact of the introduction of index futures on the volatility of the … underlying Turkish spot market. For this purpose, symmetric and asymmetric conditional-volatility models have been employed by … changes in the structure of volatility in the ISE30 spot market, following the onset of futures trading. It has also been …