Nonparametric methods for estimating the implied volatility surface or the implied volatility smile are very popular …. The first step requires to extract implied volatility data from observed option prices, in the second step the actual … and less tractable. In this study, we propose a one-step estimator for the implied volatility surface based on a least …

follows. We find weak and shortlived return spillovers, in particular from the USA to Japan. Volatility spillovers are more …Financial market spillovers around the globeThis paper investigates the transmission of return and volatility … contribution from foreign markets is less pronounced in the case of returns than in the case of volatility. Possible gains in terms …

on some high frequency basis has spurred the research in the field of volatility modeling and forecasting into new … directions. First, the realized variance is a much better estimate of the latent volatility than the sum of the weighted daily … squared returns. As such it is better suited for comparing the out-of-sample performances of competing volatility models …

Market analysts and central banks often use the implied volatility of FX options as an indicator of expected exchange … deviate the value of implied volatility from the exchange rate variability expected by the market. These biasing factors are … one month. However, implied volatility provides a biased estimate, and does not encompass the information included in …

examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are …

incidence of violations by OTM than by ITM calls, contradicting the common inference drawn from the observed implied volatility … options being either underpriced over 1988-1995, or overpriced over 1997-2002. …

volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as … the Black-Scholes and Hull-White formulas which includes stochastic volatility. We find that long memory as well as …

differences of opinion is left, and hence volatility is decreased. …