I test for the presence of asymmetric volatility in the Euro cross-rate futures markets. My investigation is based on a … variant of the heterogeneous autoregressive volatility model, using daily realized variance and return series from 2004 … through 2009. I find that appreciation against the Euro leads to less volatility for the EUR/GBP contract and significantly …

We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index …

-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 …

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 …

The behavior of the implied volatility surface for European options was analyzed in details in [Zumbach and Fernandez …, and given by a volatility forecast in the time-to-maturity direction. This difference is the basis of a cross … the option arbitrage price in order to compute realistic implied volatility surfaces. Finally, the cross …

still needs to be closely monitored by the regulatory authorities given the high level of volatility, the fragile level of …

volatility are characterised by smaller price impact. Larger levels of price impact are more likely to occur during the middle of …