portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses … nonparametric. New confidence intervals quantify the term structure estimation error. The framework is applied to estimating the …

the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 …

general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …

We provide an efficient swaption volatility approximation for longer maturities and tenors, under the lognormal forward …-LIBOR model. In particular, we approximate the swaption volatility with a mean update of the spanning forward rates. Since the …

conditional volatility of two stock markets, during the 1995-2007 period, using the monthly data of BSE listed BSE 100 and NYSE … of two stages GARCH (1,1) model wherein in first stage conditional volatility of both stock markets is estimated, and … then it is used as exogenous variable to estimate further conditional volatility of both stock markets. The study also …

value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …

and the optimal exercise strategies in terms of swap rates for both fixed-rate payer and receiver swaps. Finally, we show …