We explore the ability of alternative popular continuous-time diffusion and jump diffusion processes to capture the dynamics of implied volatility indices over time. The performance of the various models is assessed under both econometric and financial metrics. To this end, data are employed...

The shadow economy (SE) is a pathological normalcy, not only in developing countries but also in developed ones, causing disagreeable distortions in the real economy. In this paper, we estimate the size of the informal sector in nineteen countries of the European Union (EU) by implementing three...

Volatility changes stochastically over time. This has implications for option pricing and risk management and it has motivated the development of stochastic volatility option pricing models. The fundamental building block of these models is the stochastic process that is used to model the...

Motivated by the growing literature on volatility options and their imminent introduction in major exchanges, this paper addresses two issues. First, we examine whether volatility options are superior to standard options in terms of hedging volatility risk. Second, we investigate the comparative...

This paper studies the three main markets for emission allowances within the European Union Emissions Trading Scheme (EU ETS): Powernext, Nord Pool and European Climate Exchange (ECX). The analysis suggests that the prohibition of banking of emission allowances between distinct phases of the EU...

This paper investigates US Treasury market volatility and develops new ways of dealing with the underlying interest rate volatility risk. We adopt an innovative approach which is based on a class of model-free interest rate volatility (VXI) indices we derive from options traded on the CBOE. The...

We examine the relationship between CER “greenness” and CFP for the S&P500 firms from 2002 through 2017. We test the effect of Jensen’s alpha, stock returns, ROA, size, sales, and profit on CER by building a CAPM model of risk-adjusted excess returns under EMH and introduce the “Green...