an approach to model spot prices that combines mean-reversion, spikes and stochastic volatility. Thereby we use different …

growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased …

This paper applies the Model Confidence Set (MCS) procedure of Hansen, Lunde, and Nason (2003) to a set of volatility …. The empirical exercise is based on 55 volatility models and the MCS includes about a third of these when evaluated by mean …

Market expectations of future return volatility play a crucial role in finance; so too does our understanding of the … informativeness of volatility forecasts produced by ARCH models versus the volatility forecasts derived from option prices and in … improving volatility forecasts produced by ARCH and option models and combinations of models. Daily and monthly data are …

seasonal pattern for the conditional volatility for the Swedish stock market has been found. The daily turnover in the Swedish … stock market has an impact on and eliminates to some extent seasonal patterns in conditional volatility. The daily turnover … correlated. We can also conclude that a feedback from the US stock market to the conditional volatility in the Swedish market …

market in India. The paper, inter alia, seeks to prove the point that the Indian OTC derivatives markets, unlike many other … valid in India. A good reporting system and a post-trade clearing and settlement system, through a centralised counter party … markets permitted in India, interest rate swaps and foreign currency forwards are the two prominent markets. However, by …

autoregression, we derive return and volatility spillover indices over the rolling sub-sample windows. We show that there is … substantial difference between the behavior of the East Asian return and volatility spillover indices over time. While the return … spillover index reveals increased integration among the East Asian equity markets, the volatility spillover index experiences …