This study proposes an alternative approach for examining volatility linkages between Standard & Poor's 500, Eurodollar … futures and 30 year Treasury Bond futures markets using implied volatility from the three markets. Simple correlation analysis … substitutability of the implied volatility approach and find that the results are nearly identical; I conclude that my approach is …

long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in … estimate the structural parameters of the proposed model by maximum likelihood. I find that the stochastic volatility model … volatility risk. However, there is no consensus on the premium for market volatility risk. It can be positive or negative. The …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

mid-1980s, in contrast to the simultaneous volatility decline of most aggregates, including overall hours and employment … the skill premium, it is interesting to check its short-run implications for employment volatility. The numerical results … DSGE models' implications for overall labor market' volatility. …

study on the relationship between trading volume and return volatility from market microstructure perspective. In order to … verify a proper model to describe return volatility, we carry out test to examine the heteroscedasticity condition, and … two opposite hypotheses about volume-volatility relation. The Mixture of Distributions Hypothesis suggests a positive …