of the parameters driving the risk-neutral conditional distributions and term structure of volatility, thereby enhancing …

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …

prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …

This paper documents law of one price violations in equity volatility markets. While tightly linked by no …

This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We … risk-neutral distributions as well as the term structure of volatility smiles and of variance risk premia. We find that the …

's subsequent volatility in both spot and futures markets. Financial derivatives, which are not only highly representative of the … futures. The purpose of the paper is to investigate the co-volatility spillovers within and across the US energy and financial … sectors in both spot and futures markets, by using "generated regressors" and a multivariate conditional volatility model …

The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility … spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers … (namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility …