realized volatility and its continuous and jump components. Considering buyer-initiated and seller-initiated trades and … investigate whether buyer and seller initiated trades as two factors of realized volatility, we investigate whether they have an … asymmetric effect on realized volatility. The stocks in the ASX50 sampled over the period January 1996 to April 2010 reveal that …

We propose a model of volatility tail behavior, in which the pricing measure dominates the physical measure in both … tails of the volatility distribution and, hence, the derived pricing kernel exhibits an increasing and decreasing region in … the volatility dimension. The model features investors who have heterogeneity in beliefs about volatility outcomes, and …

By computing a volatility index (CVX) from cryptocurrency option prices, we analyze the market's expectation of future … volatility. Our method addresses the challenging liquidity environment of this young asset class and allows us to extract stable … volatility benchmarks for traditional asset classes, such as VIX (equity) or GVX (gold), confirms that cryptocurrency volatility …

100 US dollars again. This study explains the volatility of petroleum futures contracts as low and high volatility in two … January 1990 to October 2017, the transition probabilities and durations between two different volatility regimes of oil … futures prices are explained. The volatility of the oil futures contract is switching between two regimes with low volatility …

This study examines the connectedness and time-frequency correlation of price volatility across the Chinese stock … market and major commodity markets. This paper applies a DCC-GARCH-based volatility connectedness model and the cross … spillovers in the system throughout the sample period, but the Chinese market plays the role of a net receiver of volatility …

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 …

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