valuation of the asset at any given time. However, most models for forecasting the return or volatility of assets completely … Australian markets which show that this model improves high frequency volatility forecasts. This is most evident for news which …

We study the difference in the volatility dynamics of CBOT corn, soybeans, and oatsfutures prices across different … vary across delivery horizons. Further, it is shown thatthe price volatility is higher before the harvest starts in most of … the cases compared tothe volatility during the planting period. These results have implications for hedging …

We analyze time-varying volatility in crude oil, heating oil, and natural gas futuresmarkets by incorporating changes …. Further, volatility in these markets is found to change in response to several major events such as the Asian financial crisis … impactthan upward changes do. Finally, volatility spillover from heating oil to natural gasfutures markets is found. …