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 …

standard stochastic volatility models and, (ii) the term structure of the at-the-money volatility skew is approximated by a …:(i) has been explained by using fractional volatility model with Hurst index H>1/2, (ii) is proved to be satisfied by a {\it … rough} volatility model with H<1/2 under a risk-neutral measure. This paper provides a solution to this fractional puzzle in …

Current debates on globalization have tended to focus on financial market volatility and contagion. In fact, many … whether there has been volatility contagion from Mexico to the two South American nations. The results obtained from the … estimation of augmented GARCH equations indicate, quite strongly, that while there has been volatility contagion from Mexico to …

Current debates on globalization have tended to focus on financial market volatility and contagion. In fact, many … whether there has been volatility contagion from Mexico to the two South American nations. The results obtained from the … estimation of augmented GARCH equations indicate, quite strongly, that while there has been volatility contagion from Mexico to …