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 …

period ahead; in the Volatility treatment, we also elicit subjective confidence intervals of forecasts, which we take as a … measure of perceived volatility. The realized asset price is derived from a Walrasian market equilibrium equation with non …-linear feedback from individual forecasts. Our experimental markets exhibit high volatility, fat tails and other properties typical of …

are obtained and applied to numerically analyze the impact of the agents' risk aversion on the implied volatility of …

volatility need not be increased value and postponed investment. This depends on signs of correlations and what parameters are … held constant. For real options, the rate-of-return shortfall may change. The CAPM is commonly used to determine this. In … market is nonpositive and not invariant to changes in volatility. For crude oil during 1993-2008, these changes are …

e.g. the CAPM. SIM and MIM frameworks. The multifractal view of e.g. Mandelbrot concerning the market behaviour. has … inspired the outline of the Volatility Asset Pricing Model (VAPM) based on the market’s expected volatility and the serial …

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