volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …

volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …

almost 8% of assets under management. This paper investigates whether the volatility in MMF flows was driven by investors …’ liquidity needs re-lated to derivative margin payments. We combine three highly granular unique data sources (EMIR data for …

volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …

following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …

-based measures of credit risk, liquidity risk and interest rate risk. In this context, I analyse how the set of explanatory factors … repriced CDX contracts to a larger extent than iTraxx contracts. Credit risk and liquidity factors are priced in almost all … tranches with liquidity risk playing a larger role since the start of the turmoil. …

speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …

speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …

In this paper we study risk-neutral densities (RNDs) for the German stock market. The use of option prices allows us to … quantify the risk-neutral probabilities of various levels of the DAX index. For the period from December 1995 to November 2001 …, we implement the mixture of log-normals model and a volatility-smoothing method. We discuss the time series behaviour of …