robust with respect to a volatility measure and provide direct policy implications for portfolio composition and hedging. …We provide a comprehensive assessment of volatility connectedness between the currencies of Central European (CE … currencies before) and document domination of the negative volatility, especially during periods of economic distress. We further …

.We consider the setting where both the implied volatility and the risk free rate are calculated jointly from the observed option …This paper suggests a method of estimation of the implied volatility smile uncertainty of the observed options prices … due to future risk-free rate uncertainty. The purpose is to quantify the range of uncertainty under different scenarios …

biofuels and other economic and financial factors on daily returns of a group of commodity futures prices using Generalized … complex of drivers are relevant in explaining commodity futures returns; more precisely, the Standard and Poor´s (S&P) 500 … positively affects commodity markets, while the US/Euro exchange rate brings about a decline in commodity returns. It turns out …

volatility. We develop a unified empirical framework to analyze the media's effects on both returns and volatility using insights … concentrated in soybeans and maize. We find robust evidence that media coverage decreases volatility for these agricultural … commodities on average for the period we study. The effects on volatility balance each other, with decreasing price coverage …

We propose a fear index for corn using the variance swap rate synthesized from out-of-the-money call and put options as … a measure of implied variance. We find negative and time-varying variance risk premiums (realized variance minus implied … variance) in the corn market from 1987 to 2009. Our results contrast with Egelkraut, T. M., Garcia, P., & Sherrick, B. J. (2007 …

volatility. We develop a unified empirical framework to analyze the media's effects on both returns and volatility using insights … concentrated in soybeans and maize. We find robust evidence that media coverage decreases volatility for these agricultural … commodities on average for the period we study. The effects on volatility balance each other, with decreasing price coverage …

prices and their volatility. We focus on three major and liquid agricultural markets: corn, soybeans and wheat. We find … positions bear some predictive ability for volatility. This relationship is mainly concentrated on the 2006-2009 period that … includes the recent financial crisis. Finally, we find that volatility decreases with the positions of index fund traders …

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … produce more accurate risk assessments, treating both portfoliolevel and asset-level analysis. Asset-level analysis is … particularly challenging because the demands of real-world risk management in nancial institutions - in particular, real-time risk …

Financial risk managers routinely use non-linear time series models to predict the downside risk of the capital under … prediction and the evaluation of downside risk. Emphasis is given to the two key financial downside risk measures: Value-at-Risk … are discussed, and code examples are provided. An illustration using the series of log-returns of the Dow Jones Industrial …

risk metrics computed from a copula-based model of dependence between financial firm returns and financial asset market … returns: climate transition expected returns, climate transition value-at-risk, and climate transition expected shortfall …. Empirical evidence for European financial firms over the period 2013-2020 indicates that the climate transition risk varies …