``Disorder-induced volatility'' (DIV) describes the enhanced fluctuations of collective behaviors exhibited by bistable … random networks demonstrate the ubiquity and robustness of DIV, which is proposed as a possible cause of excess volatility in …

We study the impact of oil price shocks on U.S. stock market volatility. We derive three different structural oil shock … variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate … stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous …

investment and aggregate volatility. Agents trade riskless assets to share the aggregate risk, so that in equilibrium a higher … volatility increases the certainty-equivalent future return for low-risk-averse individuals, which hold a long position in risky …

capital-scarce resource exporter.  I show that capital-scarce countries should still establish a Volatility Fund, but it …) Build a Volatility Fund quickly, then leave it alone;  iii) Invest to stabilise the real exchange rate. The remaining four … improve absorption, vi) Invest part of the Volatility Fund domestically; and vii) Support private investment. …

defined using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …, but downgrades increase stock and bond market volatility. Contagion is present, and sovereign rating announcements create … volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction for portfolio …

Modelling, monitoring and forecasting volatility are indispensible to sensible portfolio risk management. The … volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps …, options and futures. The most popular volatility index is VIX, which is a key measure of market expectations of volatility …

correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform …, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model: evidence …, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating and …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …