tractable. The approach allows for simultaneous calibration to market volatility surfaces of currency triangles, and also gives …

This paper tests the expectations hypothesis of the term structure of implied volatility for several national stock … market indexes. The tests indicate that the slope of at-the-money implied volatility over different maturities has predictive … ability for future short-dated implied volatility, although not to the extent predicted by the expectations hypothesis. The …

With the innovation of derivatives, the Standard and Poor's (S&P) 500 index -- as an underlying asset of the volatility …. Since the financial crisis of 2008, the degree of market volatility has increased substantially. In addition, a random …

The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to … moneyness and option type and to compare option-based forecasts with historical volatility. The different information content of … implied volatility is examined for the most liquid at-the-money and out-of-the-money options: put (call) options for strikes …

By extending and reviewing determinants of the implied volatility in the context of high frequency (HF) trade …

We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC … stock (PX index) returns. Four bivariate models with and without jumps and/or stochastic volatility are compared using the … deviance information criterion (DIC) confirming importance of incorporation of jumps and stochastic volatility into the model …

impact on stock return correlations than shocks to futures. We confirm the model predictions by studying the correlation of U …