We apply the directed acyclic graph and spillover index models and find significant evidence of both implied volatility … contagion and spillover. First, the global implied volatility smiles exhibit strong regional clustering. The European and … them, the European index options markets demonstrate the strongest implied volatility smile contagion. Second, there exists …

This paper investigates whether dynamic volatility spillovers across shipping freight markets can be explained by a …

I test for the presence of asymmetric volatility in the Brent and Light crude oil futures markets. My investigation is … based on a variant of the heterogeneous autoregressive volatility model, using daily realized variance and return series … from 2004 through 2009. I find that a decline in oil futures leads to significantly higher volatility in Brent and Light …

By computing a volatility index (CVX) from cryptocurrency option prices, we analyze the market's expectation of future … volatility. Our method addresses the challenging liquidity environment of this young asset class and allows us to extract stable … volatility benchmarks for traditional asset classes, such as VIX (equity) or GVX (gold), confirms that cryptocurrency volatility …

This paper examines the existence of dynamic volatility spillovers within and between the dry-bulk and tanker freight … markets by employing the multivariate DCC-GARCH model and the volatility spillover index developed by Diebold & Yilmaz (2009 … disaggregation of volatility spillovers in total, directional, net and net pair- wise. Results reveal the existence of large time …

This paper examines the behavior of crude oil futures price volatility and investigates how the EIA weekly crude oil … inventory reports announcements, especially information shocks, impact crude oil price movement and volatility. This study …