In this paper we examine the empirical performance of affine jump diffusion models with stochastic volatility in a time … method. The support for a stochastic volatility model including jumps in both prices and volatility is strong and the model …

metal price series is investigated, as well as time-varying volatility. The results demonstrate that allowing for jumps and … time-varying volatility provides statistically important improvements in the modelling or prices, relative to GBM. These …

This paper investigates the causal influence of export concentration on measures of aggregate volatility …. Identifying causal effects of export concentration on volatility faces severe problems of endogeneity, however. Based on a gravity … plausibly uncorrelated with other determinants of volatility, it is used as an instrument for ex-port concentration to obtain …

returns fall sharply; (2) it rises as the stock market volatility increases; (3) it also rises when general financial market …

Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no … options at all -- Volatility derivatives in portfolio optimization -- Benefits of using volatility futures in investment … strategies -- Predictive properties of the volatility term structure -- Conclusions -- List of gures -- List of tables …