of GARCH-X models improves the accuracy of their volatility forecasts for spot and 1-year time-charter tanker freight … of the volatility forecasts drawn …

This paper examines the existence of dynamic volatility spillovers within and between the dry-bulk and tanker freight … markets by employing the multivariate DCC-GARCH model and the volatility spillover index developed by Diebold & Yilmaz (2009 … disaggregation of volatility spillovers in total, directional, net and net pair- wise. Results reveal the existence of large time …

-run risks model of Bansal and Yaron (2004) by allowing both a long- and a short-run volatility components in the evolution of … economic fundamentals. With this extension, the new model not only is consistent with the volatility literature that the stock … market is driven by two, rather than one, volatility factors, but also provides significant improvements in fitting various …

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 …

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 …