Option prices seem to behave in ways inconsistent with the Black-Scholes model. Implied volatility varies with the … strike price in a parabolic shape that is often called the volatility 'smile.' My objective in this paper is to identify … implied probability distributions that might explain this anomaly. I develop a simulated method of moments estimation …

-BEKK model introduced by Engle and Kroner (1995) is employed to analyze the volatility transmission structure. We identify the … is observed. Furthermore, we detect unidirectional volatility transmission from the futures to the spot market at highest …

-BEKK model introduced by Engle and Kroner (1995) is employed to analyze the volatility transmission structure. We identify the … is observed. Furthermore we detect unidirectional volatility transmission from the futures to the spot market at highest …

at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that …

at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that …

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 …

Implied volatility and other forward-looking measures of option-implied uncertainty help investors carefully evaluate …. In the first part, we create new volatility indices, which reflect market pricing of subsequently realised volatility of … underlying bond futures. We express volatility indices in both price and basis points, the latter being more intuitive to …

This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss … franc and the Japanese yen vis-à-vis the US dollar before and after the introduction of the euro. Based on dynamic … significant co-movements and volatility spillovers across the four exchange returns, but their extend is, on average, lower in the …