, 335 (1998)]. We hypothesise that the volatility scaling we find for these GDP constituents causes the volatility scaling …

This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the … persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we … estimate the effects of oil price shocks on the price volatility of metals, allowing for the asymmetric responses. We use daily …

This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the … persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we … estimate the effects of oil price shocks on the price volatility of metals, allowing for the asymmetric responses. We use daily …

Managed volatility strategies adjust market exposure in inverse relation to a risk estimate, to stabilize realized … portfolio volatility through time. Our paper examines strategy performance from an investment practitioner perspective. Using … compared with a buy-and-hold benchmark, on average, but with some variation. Managed volatility strategies achieve robust tail …

insurance contracts a stochastic volatility model for equity prices would be more suitable. In this paper closed form … expressions are derived for prices of guaranteed annuity options assuming stochastic volatility for equity prices and either a 1 …-factor or 2-factor Gaussian interest rate model. The results indicate that the impact of ignoring stochastic volatility can …

credit spreads and corporate bond volatility are highly correlated with economic uncertainty. Our model-implied risk premiums …

observed volatility of private equity returns is unrealistically low because the recorded returns of private equity are based … the observed volatility. As an alternative to observed volatility some investors have argued that private equity … volatility should be estimated as leveraged public equity volatility, because private equity companies are more highly levered …