. The results of the impulse-response function analysis show that, in Asia, the stock market has a negative impact on the … gold price and a positive effect on the USD exchange rate. In Europe, the stock market has a negative impact on the other … two markets in the short term. The variance decomposition results suggest that, in Europe, the stock market return …

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 …

This paper tests the expectations hypothesis of the term structure of implied volatility for several national stock … market indexes. The tests indicate that the slope of at-the-money implied volatility over different maturities has predictive … ability for future short-dated implied volatility, although not to the extent predicted by the expectations hypothesis. The …

We apply the directed acyclic graph and spillover index models and find significant evidence of both implied volatility … contagion and spillover. First, the global implied volatility smiles exhibit strong regional clustering. The European and … American options markets form a separate contemporary contagion cluster from the Asia-Pacific region. However, the 30-day …

Recent empirical studies report predictable dynamics in the volatility surfaces implied by observed index option prices …

This paper evaluates and compares the ability of alternative option-implied volatility measures to forecast the monthly … realized volatility of crude-oil returns. We find that a corridor implied volatility measure that aggregates information from a …-free volatility expectations, as well as those generated by a high-frequency realized volatility model. In particular, this measure …