Modelling, monitoring and forecasting volatility are indispensible to sensible portfolio risk management. The … volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps …, options and futures. The most popular volatility index is VIX, which is a key measure of market expectations of volatility …

Volatility is an indispensible component of sensible portfolio risk management. The volatility of an asset of composite … index can be traded by using volatility derivatives, such as volatility and variance swaps, options and futures. The most … popular volatility index is VIX, which is a key measure of market expectations of volatility, and hence is a key barometer of …

Modelling, monitoring and forecasting volatility are indispensible to sensible portfolio risk management. The … volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps …, options and futures. The most popular volatility index is VIX, which is a key measure of market expectations of volatility …

Modelling, monitoring and forecasting volatility are indispensible to sensible portfolio risk management. The … volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps …, options and futures. The most popular volatility index is VIX, which is a key measure of market expectations of volatility …

the series persistence and volatility. Comparing a traditional risk indicator to our suggested one we find that the …A contribution to the study of volatility and country risk is made in order to achieve a successful crosscountry … breaks (also identifying its different kinds), determination of persistence of shocks through their structural-break free …

framework can be used to estimate the autocorrelation function of the latent volatility process and a key persistence parameter … will influence the dynamic properties of the observed process and may conceal the persistence of the underlying time series …. Our analysis is motivated by the recent literature on realized (volatility) measures, such as the realized variance, that …

volatility impact. Then, we apply it on three Tunisian exchange rate series between 1994 and 2006. As Beine, Laurent and Lecourt …