mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models … price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in …

the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are …

The volatility information content of stock options for individual firms is measured using option prices for 149 U ….S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock … returns, at-the-money implied volatilities and model-free volatility expectations for every firm. For one-day-ahead estimation …

, money and stock markets from 1994 until 2006. Considering influences on financial market volatility, the estimations are …

rates at a given future date triggers a reduction in exchange rate volatility during the interim period. Using a Markov …-switching GARCH model this paper estimates the volatility processes of four EMU exchange rate returns vis-?-vis the German mark using …

may be generalized, if we use alternative measures of volatility. We choose one feasible alternative and derive a … generalized volatility model. Applying this model to some exemplary market indices, we are able to give some empirical evidence …

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 …