VaR approach confirms a significant risk of government financial failure stemming from the volatility and comovements of … vulnerability, the volatility of sovereign spreads and of oil prices remain major sources of risk for Ecuador's public sector. The …

options pricing. Calibration to crude oil futures' options shows high volatility of oil futures prices, fat-tailed, and right … findings support the view that demand for futures contracts by investors could lead to excessively high price volatility. …

correlation with the central moments. We present evidence that risk-neutral densities do not provide accurate forecasts for the …

cor-relations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang … transform, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model … approach, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating …

correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform …, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model: evidence …, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating and …

correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform …, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model: evidence …, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating and …