We provide an efficient swaption volatility approximation for longer maturities and tenors, under the lognormal forward …-LIBOR model. In particular, we approximate the swaption volatility with a mean update of the spanning forward rates. Since the …

value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …

We develop a new efficient and analytically tractable method for estimation of parametric volatility models that is … empirical Laplace transform of the unobservable volatility. The estimation then is done by matching moments of the integrated …-day data into the Realized Laplace Transform of volatility, which is a model-free and jump-robust estimate of daily integrated …

with model estimation for S&P Index returns, suggests that volatility moves are best captured by infinite variation pure …The paper examines volatility activity and its asymmetry and undertakes further specification analysis of volatility … in volatility jumps. We also develop methods to estimate and evaluate, using price data alone, a general encompassing …

swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model … that decomposes variance swap rates into expected variances and term premia. Empirically, we document a strong global … hypothesis that financial intermediaries are marginal investors in the variance swap market. …

Variance Gamma model and the Vix index. We use this result to build a maximum likelihood estimation procedure and to calibrate …

volatility of a time series. We derive the main properties of the model and apply it to all agricultural commodities in the … volatility process and, according to homoscedasticity tests, outperforms the ARCH(1) and GARCH(1,1) models, some of the most … popular approaches used in the literature to analyze price volatility. Keywords: Agricultural prices, volatility, GARCH models. …