A time-varying copula model is used to investigate the impact of the introduction of the Euro on the dependence between seventeen European stock markets during the period 1994-2003. The model is implemented with a GJR-GARCH-MA-t model for the marginal distributions and the Gaussian copula for...

We compare density forecasts of the Samp;P 500 index from 1991 to 2004, obtained from option prices and daily and five-minute index returns. Risk-neutral densities are given by using option prices to estimate diffusion and jump-diffusion processes, that incorporate stochastic volatility, and...

The volatility information contained in high-frequency exchange rate quotations and in implied volatilities calculated from options prices is compared by estimating ARCH models for hourly and daily DM/$ returns. The results are based on the year of Reuters quotations supplied by Olsen amp;...

Hitherto, index volatility has been modelled using the history of index returns but not the returns histories of the stocks that define the index. Theoretical models that relate volatility to the quantity of information are extended to a multi-asset setting and it is deduced that stock returns...

Asset price volatility appears to be more persistent than can be captured by individual, short memory, autoregressive or moving average components. Fractional integration offers a very parsimonious and tempting formulation of this long memory property of volatility but other explanations such as...