In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility … of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR …' realized volatility. From the Bai – Perron test, we found structural breakpoints that match significant events in financial …

stocks and when to shift to the risk-free rate. The important issue regarding the predictability of returns is assessed. It … strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy … considered produce similar financial performance. Therefore, the results support stock returns predictability in the long run …

We propose a fear index for corn using the variance swap rate synthesized from out-of-the-money call and put options as … a measure of implied variance. We find negative and time-varying variance risk premiums (realized variance minus implied … variance) in the corn market from 1987 to 2009. Our results contrast with Egelkraut, T. M., Garcia, P., & Sherrick, B. J. (2007 …

creation, as well as in explaining fluctuations in stock-market and Treasury bond market volatility. In general, we find that …'s stock market volatility performing the best on several (but not all) dimensions. Their learning-based model's volatility … volatile than the David and Veronesi (2013) stock market volatility …

forest. In contrast to conventional random forests that approximate the volatility nonparametrically using local averaging … coefficients to depend on idiosyncratic stock information and overall changing market conditions. We observe superior risk … significantly higher utility for volatility managed portfolios. Superior forecast performance is especially pronounced for firms …

This paper documents law of one price violations in equity volatility markets. While tightly linked by no … stress and predict the returns of VIX futures. A relative value trading strategy based on the deviation measure earns a large … Sharpe ratio and economically significant alpha-to-margin. There is evidence that systematic risk and demand pressure …

long-maturity illiquidity. By building a sieve estimator around the risk-neutral valuation equation, the framework … term structure of the variance risk premium and finds that a short-run component dominates market excess return …

Commodity is one of the most volatile markets and forecasting its volatility is an issue of paramount importance. We … study the dynamics of the commodity markets volatility by employing fractional stochastic volatility and heterogeneous … autoregressive (HAR) models. Based on a high-frequency futures price dataset of 22 commodities, we confirm that the volatility of …