introduction had on electricity market. The most relevant effect is the reduction of the level of electricity price's volatility … multiple linear regression. Then, to study volatility dynamics, we fit a two-states Markov-switching model to represent a high-volatility … and a low-volatility states of the world. This model highlighted that in both states the level of volatility is lower and …

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 …