hedging errors. In the empirical application, we synthesize the prices of the variance contract on S&P 500 index over the …

straddles; second, we estimate the PVR in a Heston (1993) stochastic-volatility model. In both cases, the estimation is … more negative and its term structure is steeper when volatility is high. These findings are inconsistent with calibrations …

The aim of this study is to assess the response of the South African stock market returns to oil price volatility … EGARCH process is the best univariate model to capture oil price volatility. Interestingly, this study also revealed that the … the impact of higher oil prices, while in the long-term, policies aimed at reducing the volatility in oil prices would be …

This study investigated the impact of investor sentiment impact on sectoral returns and their volatility on the … to consider the impact of market-wide investor sentiment on volatility and returns. …

market volatility (VIX) by calculating technical trading rules with the VIX price data, as opposed to the stock prices. Three … (least) profitable during the period with the highest (lowest) volatility levels …

We contrast two different asset pricing models, where the pricing kernel either (i) increases in the volatility … dimension, reflecting investors' aversion to volatility, or (ii) could be non-monotonic in volatility, reflecting heterogeneity … in investors' beliefs. The two models yield opposite predictions about volatility tail behavior, whereby the model with …