options implied volatility OVX index and a GJR-GARCH model. To do so, we test the effect of the implied volatility of oil on a … as aggregate market returns, market volatility, exchange rates, interest rates, and inflation expectation. Our main … finding is that the implied volatility of oil prices has a consistent and statistically significant negative impact on eight …

models and implied volatility indices to examine risk spillover under bad and good volatility changes. The results reveal …-stock volatility is greater than that from decreases in volatility, showing an apparent asymmetric phenomenon. Additionally, asymmetric … risk spillovers are caused by volatility in the oil market. In particular, the ability to predict systemic risk driven by …

depending on the cumulative short-term rate makes them particularly informativeabout interest rate volatility risk. Based on a … joint dataset of bonds and Asian interest rate options, we study the inter-relations between bond and volatility risk … benchmark index (EMBI-Global), and a negative volatility risk premium, consistent with the use of Asian options as insurance in …

volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including … of volatility. Results from the conditional heteroskedasticity long memory model show the evidence of long memory in the …