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 …

in recent years. An alternative volatility derivative to VIX is the S&P500 variance futures, which is an expectation of …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 …

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 …

the conditional volatility of long–short commodity portfolios and their conditional correlations with traditional assets …

Volatility is not directly observable and must be estimated. Estimator based on daily close data is imprecise. Range …-based volatility estimators provide significantly more precision, but still remain noisy volatility estimates, something that is …

We fit the volatility fluctuations of the S&P 500 index well by a Chi distribution, and the distribution of log … formula is deduced from a perturbation expansion around a Black–Scholes formula with the mean volatility. The expansion has …

fluctuations has correlations that decay as a power-law, persisting for several months. (iii) Volatility and trading activity: We …