fnancial institutions. We show that the 10-year Treasury yield's forward-looking volatility, a VIX-style measure that is a … volatility of crude oil prices over the near term. Using monthly data from 2003 to 2020, we document that higher implied … volatility in the 10-year U.S. Treasury derivatives market predicts declining oil prices and higher forward-looking volatility in …

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 …

Bermudan cancelable features. We consider a three-factor pricing model with FX volatility skew which results in a time …

uncertainty (EPU) index. The present work determines the association among policy uncertainty and volatility index, expressed in …. The results suggest that equity markets' volatility tends to be very high based on a high degree of policy uncertainty … that implied volatility index is a forward looking expectation of future stock market volatility, and it uncovers that …

advantages: i) ensures nonnegative interest rates, ii) easily accommodates unspanned factors affecting volatility and risk …, volatility, and risk premium dynamics — including when interest rates are close to the zero lower bound …

We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero …-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward … slopes - volatility carry strategy - generates significant excess returns. The covariation with volatility carry returns …

The goal of our paper is to show how correlation between convenience yield and commodity spot price must be and can be … (Casassus and Collin-Dufresne, 2005) and/or stochastic volatility (Nielsen and Schwartz, 2004; Richter and Sørensen, 2006 …; Koekebakker and Lien, 2004) in addition to stochastic correlation. Indeed, Cuchiero et al. (2011) derive necessary and sufficient …

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 …