long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in … estimate the structural parameters of the proposed model by maximum likelihood. I find that the stochastic volatility model … volatility risk. However, there is no consensus on the premium for market volatility risk. It can be positive or negative. The …

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 …

settlement feature of Class IIII milk futures contracts generate a unique volatility pattern of these futures markets in the … sense that the volatility gradually decreases as the USDA price announcement dates approaching in the month. Focusing on the … evolution of volatility in Class III milk futures market, this study quantifies the relative importance of a set of factors …

changes in ownership when analyzing spinoffs and generally to control for endogeneity, selection and data attrition when …

changes in ownership when analyzing divestitures and to control for endogeneity, selection and data attrition when analyzing …

operator and spouse are dependent. We then find significant evidence of endogeneity in the health insurance coverage variable …

, such as a regression function, and treating it as a conditional expectation is central to its identification and estimation … intuition about identification and estimation for endogenous nonparametric regression and related models. …

. My results are encouraging, suggesting that the estimation strategy is able to significantly reduce endogeneity bias, and … CRP enrollment on CRP and non-CRP land. I present a new estimation strategy designed to overcome the confounding effects …