their associated volatility. The sample period includes the Asian economic and financial crises in 1997, and part of the … whether alternative short and long run estimates of conditional volatility are sensitive to the approximate long memory in the … conditional mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation …

This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing … cointegration and Markov-switching VECM and Impulse Response Analysis, confirms that these markets have significant linkages which … vary according to whether they are in low or high volatility regimes. …

realized volatility. The jump component has very different time series properties than the continuous component, and accounting … for this allows improved forecasting of future realized volatility. We investigate the potential forecasting role of … implied volatility backed out from option prices in the presence of these new separate realized volatility components. We show …