This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal … findings show that the volatility and covariance dynamics may differ considerably depending on the hedging horizon and this …

prices of crude oil futures and daily S&P500 futures closing prices over the past several decades. We investigate …

volatility level. Single-factor stochastic volatility models are not flexible enough to account for the stochastic behavior of … the skew. On the other hand, multifactor stochastic volatility models are able to account for the existence of stochastic … that the consideration of additional volatility factors in the context of stochastic volatility models allows us to …

behavior of the implied volatility surface. These rules are the sticky delta rule and the sticky strike rule. I present a new … specification to test the sticky strike rule, which allows for dynamics in the implied volatility surface. In the empirical … application I use monthly implied volatility surfaces corresponding to the IBEX 35 index. The estimation results show that the …

We consider the problems of derivative pricing and inference when the stochastic discount factor has an exponential …

volatility surfaces. The parameters of this model are directly linked to measurable and observable market risks …

We analyze the determinants of daily futures price volatility in corn, soybeans, wheat, and oats markets from 1986 to … allows us to clearly distinguish among time-to-delivery effects, seasonality, calendar trend, and volatility persistence. We … find strong evidence of time-to-delivery (Samuelson) effects and systematic seasonal components with volatility increasing …

. Such requirements increase with both market volatility and default; consequently, CCP liquidity needs are inherently …. Moreover, although they mitigate credit risk, CCPs create liquidity risks, because they rely on participants to provide cash … financial institutions default. Liquidity-focused macroprudential stress tests could help to assess and manage this systemic …

Should an investor enter into long-term positions in oil futures contracts? In answering this question, this paper will … cover the following three considerations: (1) the case for structural positions in crude oil futures contracts; (2) useful … will conclude by noting the conditions under which one might consider including oil futures contracts in an investment …