This paper documents law of one price violations in equity volatility markets. While tightly linked by no …

in EUR swap yields and their volatility. The results of the estimated models of EUR swap yields of different maturity …This paper models the month-over-month change in euro-denominated (EUR) long-term interest rate swap yields. It shows … EUR swap yields of different maturity tenors, after controlling for various macroeconomic and financial variables, such as …

value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …

increases in realized volatility and arrive when differences-in-opinion among market participants are large at times of FOMC … press releases. Unlike intensity jumps, volatility jumps fail to explain the variation in news-induced realized volatility …

-of-the-week effects in returns and volatility using the Nigerian stock exchange (NSE-30). The Gaussian, Student-t, and the Generalized … are sensitive to error distribution. Our finding also shows that evidence of good or bad news in volatility does not only …

domestic volatility after good shocks but a bad hedge after crashes …

measuring the contemporaneous correlation between the return shock and the volatility shock. We show that the contemporaneous … the proposed model are analyzed. The estimation of the model with the SP500 excess return series lends a mild support for …

This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We … risk-neutral distributions as well as the term structure of volatility smiles and of variance risk premia. We find that the …

This paper studies how volatility affects the risk premium in crude oil futures through a discrete-time term structure … model with long-run and short-run GARCH-type volatility components. Estimated using WTI crude oil futures data from January … document a significant positive relation between volatility and futures risk premia before May 2005, but a significant negative …

volatility of a time series. We derive the main properties of the model and apply it to all agricultural commodities in the … volatility process and, according to homoscedasticity tests, outperforms the ARCH(1) and GARCH(1,1) models, some of the most … popular approaches used in the literature to analyze price volatility. Keywords: Agricultural prices, volatility, GARCH models. …