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

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 …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

price volatility in agricultural markets to rise. Rather, fundamental factors are made responsible for this. Therefore, most …

volatility in agricultural markets to rise. Rather, fundamental factors are responsible for this. Therefore, most papers are not …

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which …

volatility models. We propose a continuous timefractionally integrated Wishart stochastic volatility (FIWSV) process. We derive …