of yield shocks to price volatility is measured. This paper shows that correlation effects account for a significant … assumptions, recent experience of highly turbulent markets has renewed interest in quantitative assessment of price volatility by … implemented. As an application, the impact of crop yield shocks on price volatility is studied. Since the concurrent reduction in …

series. We consider realized volatility measures of the returns of 13 major banks traded in the NYSE. Since our variables are …

while adjusting for the volatility risk premium. Relative model performance does not change during the global financial …