This paper investigates the impact of both exchange rate and futures price volatility on bilateral cereals exports from … negative impact on French cereals trade. Surprisingly, we nd also that higher futures price volatility is associated with …, we nd that realized futures price volatility has a significant and positive impact on French exports of four commodities …

We investigate the predictive information content in foreign exchange volatility risk premia for exchange rate returns …. The volatility risk premium is the difference between realized volatility and a model-free measure of expected volatility … that is derived from currency options, and reflects the cost of insurance against volatility ‡fluctuations in the …

We find evidences of significant volatility co-movements and/ or spillover from different financial markets to forex … market for Indian economy. Among a large number of variables examined, volatility spillovers from stock market, government … to be most important. Empirical findings also indicate that the volatility spillover differed across variables in terms …

Black/Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the … underlying asset’s return is a deterministic function of the asset price and time, and develop the deterministic volatility … 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive …

undesirable feature of predicting that the asymptotic value of the short rate volatility is zero. This theoretical result is … reverting Gaussian option values. In other words, the volatility in the rational lognormal model declines so quickly that …