correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform …, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model: evidence …, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating and …

Volatility breaks are tested and documented for 19 important monthly macroeconomic time series across the G7 countries … structural break, volatility breaks are found to be widespread. This continues to hold when business cycle nonlinearities are … allowed in the variance. Multiple volatility breaks are also examined, and these are found to be especially prevalent for …

mean and volatility. The endogenous structural breakpoint unit root test, the autoregressive distributed lag (ARDL) model …, and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model … reached a peak in 2008. We also find that that the volatility of global fertilizer prices and crude oil price from March to …

This study examines the conditional volatility and correlation dependency and interdependency for the four major … volatility. These results have become more pervasive when the exchange rate and FFR are included. Monetary policy also has a …

The main purpose of this paper is to estimate the volatility in global fertilizer prices. The endogenous structural … breakpoint unit root test and alternative volatility models, including the generalized autoregressive conditional … volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in other periods, and that …

Modelling, monitoring and forecasting volatility are indispensible to sensible portfolio risk management. The … volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps …, options and futures. The most popular volatility index is VIX, which is a key measure of market expectations of volatility …

exchange rate increases the significant direct and indirect past shock and volatility effects on future volatility between the …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

This paper analyzes two indexes in order to capture the volatility inherent in El Niños Southern Oscillations (ENSO … suitable for modelling ENSO volatility accurately, and that 1998 is a turning point, which indicates that the ENSO strength has …