We examine the predictive value of expected skewness of oil returns for the realized volatility using monthly data from … structural breaks. In-sample results show that the predictive impact of expected skewness on realized volatility can be both … positive and negative, with these signs contingent on the quantiles of realized volatility. Moreover, we detected statistically …

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign …