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 …

fluctuations of the yen-dollar exchange rate. I show first that these models would have exploited exchange rate trends quite …

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

demonstrate that geopolitical risk plays an important role in determining both oil price volatility and (to a lesser extent) stock … market volatility. An increase in geopolitical risk is associated with positive (negative) oil (stock) returns and is … correlation. This model shows short- and long-term volatility persistence for oil and stock prices, together with spillover …

This study investigates the impact of commodity price volatility spillovers on financial sector stability. Specifically …, the study investigates the spillover effects between oil and food price volatility and the volatility of a key …/USD) exchange rate. Volatility spillover is examined using the Generalized Vector Autoregressive (GVAR) approach and Multivariate …