Recent general equilibrium models prescribe predictable dynamics in the volatility surfaces that are implied by … volatilities from over-the-counter options on eight different currencies, quoted against the Euro. We examine implied volatility … volatility trading strategies in the absence of transaction costs. Comparing across competing models, our results suggest that …

The implied volatility of any stock market can be used in order to measure the future expectations of risk and returns … great importance to examine the implied volatility of the Greek stock market and measure its' relevance with the implied … volatility of the German stock market. The reason that these stock markets have been selected relies on the fact that the German …

volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including … of volatility. Results from the conditional heteroskedasticity long memory model show the evidence of long memory in the …

This study examines the return (price) and volatility spillovers among the money, stock, foreign exchange and bond … Diebold and Yilmaz (2012) [Better to give than to receive: Predictive directional measurement of volatility spillovers …-2012), suggest a high level of total return and volatility spillover effects throughout the sample, indicating that, on average, more …

This study examines the return (price) and volatility spillovers among the money, stock, foreign exchange and bond … Diebold and Yilmaz (2012) [Better to give than to receive: Predictive directional measurement of volatility spillovers …-2012), suggest a high level of total return and volatility spillover effects throughout the sample, indicating that, on average, more …

evaluates the performance of the models. The probit model with the industrial production index and the realized volatility as …

leverage and asset volatility. We conclude that the bilateral cross-sector exposures in the euro area financial system … financial intermediaries playing a key role in the processes. High financial leverage and high asset volatility are found to …