Recent general equilibrium models prescribe predictable dynamics in the volatility surfaces that are implied by … volatilities from over-the-counter options on eight different currencies, quoted against the Euro. We examine implied volatility … volatility trading strategies in the absence of transaction costs. Comparing across competing models, our results suggest that …

The implied volatility of any stock market can be used in order to measure the future expectations of risk and returns … great importance to examine the implied volatility of the Greek stock market and measure its' relevance with the implied … volatility of the German stock market. The reason that these stock markets have been selected relies on the fact that the German …

the dynamic spillover of return and volatility between oil and equities in the Gulf Cooperation Council Countries during … the period 2004 to 2012. Our results indicate that return and volatility transmissions are bi-directional, albeit …

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns. In turn, this so …{called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …

We propose a flexible GARCH-type model for the prediction of volatility in financial time series. The approach relies … computationally attractive and feasible for large dimensions. We demonstrate its strong predictive potential for financial volatility …

This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that … application is for volatility forecasts of the Mexican Peso-US Dollar exchange rate, where realized volatility calculated using … intra-day data is used as a proxy for the (latent) daily volatility. …