of GARCH-X models improves the accuracy of their volatility forecasts for spot and 1-year time-charter tanker freight … of the volatility forecasts drawn …

.Taking the model seriously allows traders to treat the volatility parameter in the model as an asset and trade it by buying or …

We analyze the relationship between economic uncertainty and commodity market volatility. We find that commodity market … volatility comoves strongly with economic and financial uncertainty, especially during recessions. Variables associated with … commodity market volatility. The documented predictability is mainly observed in the period after the financialization of …

straddles; second, we estimate the PVR in a Heston (1993) stochastic-volatility model. In both cases, the estimation is … more negative and its term structure is steeper when volatility is high. These findings are inconsistent with calibrations …

We propose a general framework for pricing and hedging derivatives in cross-dependent volatility (CDV) models, i ….e., multi-asset models in which the volatility of each asset is a function of not only its current or past levels, but also … particular the longstanding smiles calibration problem for the 'cross-aware' multidimensional local volatility model. CDV models …

volatility indices. The models include linear, quadratic and nonlinear drift specifications with affine, constant elasticity of …

depending on the cumulative short-term rate makes them particularly informativeabout interest rate volatility risk. Based on a … joint dataset of bonds and Asian interest rate options, we study the inter-relations between bond and volatility risk … benchmark index (EMBI-Global), and a negative volatility risk premium, consistent with the use of Asian options as insurance in …

In this study, we derive a CDS implied equity volatility index from highly liquid one-year contracts in the Eurozone …, and for the inclusive period 2008-2014. We analyze the relationship between this volatility index and the VSTOXX 12M … relationship between the two volatility indices in which the CDS implied index plays the leading role …