I test for the presence of asymmetric volatility in Japanese Yen cross-rate futures markets. My investigation is based … 2004 through 2009. I find that appreciation against the Japanese Yen (JPY) leads to significantly greater volatility for … on a variant of the heterogeneous autoregressive volatility model, using daily realized variance and return series from …

The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to … moneyness and option type and to compare option-based forecasts with historical volatility. The different information content of … implied volatility is examined for the most liquid at-the-money and out-of-the-money options: put (call) options for strikes …

This paper provides an empirical study on the predictability of implied volatility using dataset collected from the … implied volatility characteristics across various maturities. We applied both in and out-of-sample tests that include the … provides evidence of non-random movement in the implied volatility series and indicates predictability of implied volatility …

This paper examines the cross-dynamics of volatility term structures implied by foreign exchange options. The data used … in the empirical analysis consist of daily observations of implied volatilities for OTC options on the euro, Japanese yen … common factors can explain a vast proportion of the variation in volatility term structures across currencies. Furthermore …

Option prices seem to behave in ways inconsistent with the Black-Scholes model. Implied volatility varies with the … strike price in a parabolic shape that is often called the volatility 'smile.' My objective in this paper is to identify … implied probability distributions that might explain this anomaly. I develop a simulated method of moments estimation …

This study attempts to examine the price discovery process and volatility spillovers in Gold futures and spot markets … channel of its new innovation. -- price discovery ; asymmetric volatility spillover ; cointegration ; VECM ; EGARCH model …

-BEKK model introduced by Engle and Kroner (1995) is employed to analyze the volatility transmission structure. We identify the … is observed. Furthermore, we detect unidirectional volatility transmission from the futures to the spot market at highest …

We examine the effect of U.S. and European news announcements on the spillover of volatility across U.S. and European … stock markets. Using synchronously observed international implied volatility indices at a daily frequency, we find … significant spillovers of implied volatility between U.S. and European markets as well as within European markets. We observe a …

This study attempts to examine the price discovery process and volatility spillovers in Gold futures and spot markets …

This paper examines the price discovery and volatility spill-over relationship for Indian commodity markets. We cover … be competitive. Volatility spill-over is confirmed for only three commodities and none of the indices. This implies the …