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

. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … volatility spillover effect. Empirical results show that the NFNE futures exhibit superior effectiveness as an instrument for … (Morgan Stanley Capital International) world index futures further improves the hedging effectiveness compared with the …

Equity index implied volatility functions are known to be excessively skewed in comparison with implied volatility at … index implied volatility from simulating the 30 dimensional return system of all DAX constituents. Option prices are …-dependence coupled with asymmetric correlation response to negative news is essential to explain the index implied volatility skew …

forecasting horizons. Therefore, a long memory volatility model compared to a short memory GARCH model does not appear to improve …

paper investigates the impact of EPU on the crude oil return volatility and which EPU index has the most forecasting power … the crude oil return volatility, but the effect is short-lived and the decay period is about one year. Particularly, our … results show that the US EPU index has the best forecasting power for crude oil return volatility over the long-term, whereas …