response to changes in the prices of oil, coal, natural gas and electricity. The results show that: (i) a positive shock to the … coal prices on the CO2 allowance prices when the electricity prices are excluded from the BSVAR system; and (v) a positive … shock to the electricity prices has a negative impact on the price of the CO2 allowances. We also find that the energy price …

volatility of crude oil markets in the presence of long memory and structural changes. To do so, we first discern OPEC's oil … production behavior in response to its “cut”, “maintain”, and “increase” decisions. Then by applying the ARMA–GARCH class models … have a significant effect on both returns and volatility of the crude oil markets, particularly that of the WTI. Moreover …

put options over a wide range of strike prices, and hence is not model based. Speculators can trade on volatility risk …Modelling, monitoring and forecasting volatility are indispensible to sensible portfolio risk management. The … volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps …

correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform …, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model: evidence …, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating and …