Emerging markets often go through periods of financial turbulence and the estimation of market risk measures may be problematic. Online search queries and implied volatility may (or may not) improve the model estimates. In these situations a step-by-step analysis with R and Russian market data...

In this paper we perform an empirical analysis on the VIX Index and we develop a series of portfolio strategies on implied volatility by using VIX Futures. First, we give a brief introduction to the VIX Index and what it represents. Then we focus on the VIX Futures, with an analysis of the VIX...

This paper investigates the intraday volatility pattern of the E-mini SP500, quoted at the Chicago Mercantile Exchange, one of the most traded American Stock Index futures. The data set consists of round-the-clock hourly returns. The squared (and absolute) returns are characterized by long...

During the last decades a wide literature has focused on the relationship volume-volatility on financial markets. This paper investigates the temporal dynamics of volatility and volumes, supposing, as in Bollerslev and Jubinsky (1999), that the link has to be found in their long-run...

This paper investigates the intraday volatility pattern of the E-mini SP500, quoted at the Chicago Mercantile Exchange, one of the most traded American Stock Index futures. The data set consists of round-the-clock hourly returns. The squared (and absolute) returns are characterized by long...

During the last decades a wide literature has focused on the relationship volume-volatility on financial markets. This paper investigates the temporal dynamics of volatility and volumes, supposing, as in Bollerslev and Jubinsky (1999), that the link has to be found in their long-run...

This paper investigates the intraday volatility pattern of the E-mini SP500 hourly returns. In order to account for the observed long memory and periodicity in returns volatility we introduce the Fractionally Integrated Periodic EGARCH and the Seasonal Fractional Integrated Periodic EGARCH. For...