This paper empirically examines the impact of oil price levels and volatility on key macroeconomic indicators of … Indonesia. In particular, two measures of volatility – historical volatility and realized volatility – are utilized and compared … for their different macroeconomic impacts. The relationships between oil price levels, the two volatility measurements …

jumps. Under a one factor Markovian setting, we derive a spanning relation between a long term option and a continuum of … performs ad hoc adjustments based on the observed implied volatility. We also compare the hedging effectiveness of the two … with our jump model simulations lends empirical support for the existence of jumps of random size in the movement of the S …

distortions during the crisis, we propose generalisations with a time varying central tendency, jumps and stochastic volatility …, and analyse their pricing performance, and implications for term structures of VIX futures and volatility «skews». We fi … nd that a process for the log of the observed VIX combining central tendency and stochastic volatility reliably prices …