We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness … skewness sometimes changing sign. Conditional skewness displays some relation to the level and volatility of swap rates but is …

particular asset, option prices across different strikes are related to the level of volatility and the correlation of volatility … with option dealers demanding a premium for holding idiosyncratic volatility risk. Contrary to Bollerslev et al. (2009), we …

dynamics of CDS volatility spillover effects surrounding the UK's EU membership referendum commonly known as "Brexit". Using a … the underlined CDS. In particular, we find that UK, Italy and Spain are the "net volatility transmitters", while France … and Germany seem the "net volatility receivers". Our findings may help in formulating appropriate regulatory policies and …

this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative … that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation … volatility persisted during the first half of the twentieth century when the equity yield was higher. This was followed by more …

one-month variance swap rate, i.e., the CBOE Volatility Index (VIX) accurately. Our research suggests that one should use …

Corridor implied volatility introduced in Carr and Madan (1998) and recently implemented in Andersen and Bondarenko … (2007) is obtained from model-free implied volatility by truncating the integration domain between two barriers. Corridor … implied volatility is implicitly linked with the concept that the tails of the risk-neutral distribution are estimated with …