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 …

This paper examines the cross-dynamics of volatility term structures implied by foreign exchange options. The data used … in the empirical analysis consist of daily observations of implied volatilities for OTC options on the euro, Japanese yen … common factors can explain a vast proportion of the variation in volatility term structures across currencies. Furthermore …

commodity futures markets. We ask whether limit events are the result of shocks to fundamental volatility or the result of … temporary volatility induced by the trading of non-commercial market participants (speculators). We find little evidence that …

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 …

In this study, we derive a CDS implied equity volatility index from highly liquid one-year contracts in the Eurozone …, and for the inclusive period 2008-2014. We analyze the relationship between this volatility index and the VSTOXX 12M … relationship between the two volatility indices in which the CDS implied index plays the leading role …