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 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 …

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 …

the world’s most actively traded physical commodity. Under normal market conditions, traders can easily find … liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …

By extending the GARCH option pricing model of Duan (1995) to more flexible volatility estimation it is shown that the … prices of out-of-the-money options strongly depend on volatility features such as asymmetry. Results are provided for the …

This paper considers a diversified world stock index in a continuous financial market with the growth optimal portfolio … (GOP) as the reference unit or benchmark. Diversified broadly based portfolios, which include major world stock market … discounted GOP it is shown that its drift does not vary greatly in the long term. For a diversified world index this leads to a …