100 US dollars again. This study explains the volatility of petroleum futures contracts as low and high volatility in two … January 1990 to October 2017, the transition probabilities and durations between two different volatility regimes of oil … futures prices are explained. The volatility of the oil futures contract is switching between two regimes with low volatility …

international option returns exhibits a mispricing by sorting on ex-ante volatility returns. In addition, selling international ETP … economically large and pervasive internationally, whereas they are comparably small domestically. While volatility hedge funds are … exposed towards domestic option products, they neglect the possibility of engaging in foreign volatility arbitrage. These …

We document a higher bond return volatility around the time of default for bonds included in CDS auctions (especially … stock return volatility of CDS firms and non-CDS firms around the time of default. These results are more consistent with …

In this paper we consider the generation of implied volatility risk scenarios, with a special focus on swaption implied … volatility smile, e.g., as modeled by a displaced SABR model.The generation of implied volatility risk scenarios is much more … demanding than other risk factors, like interest rates curve, since a volatility surface (or cube) usually involves more …

This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …

This study examines the connectedness and time-frequency correlation of price volatility across the Chinese stock … market and major commodity markets. This paper applies a DCC-GARCH-based volatility connectedness model and the cross … spillovers in the system throughout the sample period, but the Chinese market plays the role of a net receiver of volatility …